I started with my own setting. I rolled up a subsector and went from there.
After that I switched to the Spinward Marches poster and Supplement, just using the map and UWPs and with the Imperium a vague thing in the background most of the time. I was never a JTAS subscriber and didn't really find out much about the Imperium until I started picking up issues of The Travellers' Digest (starting with #5, after a friend recommended it).
Later on, after the switch to MegaTraveller, I learned more about the Imperium, but I didn't stick with that version and went back to CT. It wasn't until the 90s that I really knew much about the official Imperium at all, really. That's when I started collecting third-party CT stuff and all the GDW stuff that hadn't originally interested me (basically, everything beyond the Books and the Alien Modules), found the TML, and then eventually ended up writing for Imperium Games and all that.