The Philippine peso set from 1903 - 1912 has the key date peso 1906-S. If you were building this set, would you purchase the 1906-S first and build around it or pick up the more common dates and wait for a 1906-S to come along at a later date?

It all depends on your choice. But most of the novice collector will all start at the common dates and gradually goes to more rarer dates. In my case, I started to the most common pieces I can acquire and also to any grades that comes to me. It took me 21 years to finally acquire a 1906-S peso that completed my entire U.S. Philippine crowns collection. Until now, I'm still looking and upgrading them in a higher condition preferably in mint state condition as much as possible. This will be more challenging to me as USPI coins are hard to get in higher grades nowadays.
EWY

Most collectors starts from common dates coins because of its affordability. Later during your years of collection you will realize that the key dates were more affordable during the time you started and regret not buying them then.
My advise, if you can afford to buy the key dates now then start with it and buy it now for when you will really want to buy it later in the future it will be more expensive and the common dates will still be affordable.

But if you are a beginner be careful with fake key dates. Study the hobby well, ask questions and get professional advises before you buy something expensive.

In my experience, I always buy the coins as it comes because coins in mint state is hard to come by. I would suggest to buy the one that are already certified, as most of these coins are cleaned unless you know how to defferentiate between cleaned and not cleaned.

By chance I stumble on some of the 1903 to 1912 Philippine Piso coin. The mention that 1906-S is the keystone is interesting.
What would be the sequence in years, (1903 to 1912), from the most rare to the least rare? The start is year 1906-S, what years would then follow?
Thanks!

The proof are next in line but with regards to business strike, it is 1904 mintage 11,000. The 1911s and 1912s have very low mintage, 463,000 and 680,000 respectively, but remember the 1903-1906 were pulled out of circulation for the melting pot because of silver value and recoining of the 1907 and 1912 smaller version. So 1903-1906 mintage is already inacurate (much lower) as nobody knows percentage that when to the melting pot.