Hello Martin. Like you I also started collecting sovereigns a few years ago. At first my purchases were whatever I could find at a good price, often at the cost of bullion or just above bullion. For me this was also a learning process and one that gave me the opportunity to do a bit more research and reading (mostly online).
However, I soon realised that I was basically only acquiring bullion and the price of my 'investments' would largely track the price of the precious metal....so why not just buy a sealed Pamp or Suisse bar?? The sovereigns which have significantly appreciated in value have been those which are scarce, rare or extremely rare and then grade also determines the value. Their values do not depend on the cost of gold but rather on their rarity and desirability. Therefore, my recommendation would be set yourself a quarterly or yearly target of how much you would like to invest in sovereigns, then research which sovereign(s) you would like to add to your collection and then try to find one that fits your budget. It is painstaking and time consuming work....but it's fun.
Just to give you a very brief idea, some of the rarer and more desirable sovereigns which won't break the bank (too badly) Ansell 1859, also 1859 small date, 1838, 1839, 1841, early 20th century Canadian mint coins, 1937 Proofs, several Australian sovereigns, some South African (Pretoria mint) sovereigns. These would set you back from the mid hundreds to perhaps a five figure sum. The older sovereigns George III, George IV and William IIII are also always sought after with William IIII being very popular. Decent ones would be in the high hundreds to mid thousands. Rare ones would be much more.
Please remember I have not mentioned any of the extremely rare ones (Henry VIII, Edward VI or Elizabeth I) as these are extremely difficult to come by and therefore extremely expensive (at least for me). In most cases the proof coins are more desirable but some bullion coins (e.g. SA) do buck the trend.
Finally please do not ignore the current crop of desirable modern strikes, particularly the proof coins like 1993, 1989, 2002, 2005 and 2012, to mention just a few. These are either very limited mintage or mark a significant anniversary or event (jubilee).
I'm afraid my knowledge is not as extensive as some of the other very well informed members on this site but I take a practical view of collecting particularly if I wish to enjoy owning them, hopefully realise a decent amount in future, or leave something valuable for my heirs.
Good luck.