I really would not buy my 1st sheep from an auction mart. Think about it, all of the bugs and stress to which they have been subjected. Especially if you only want a few.
I would go to the auction as often as I could to get an idea of prices and what buyers are looking for, also to absorb some of the 'sheepy ambience'.
I would keep a separate pair of boots though in case I brought anything unwanted home. Such is my paranoia!
Auctions are great to sell anything that is not coming home again. It is the only true way to get the real market price on that specific day of any animal.
But I would buy from a farm that I could visit and see the parents of the stock that I was buying. OK, you will in all likelihood pay a bit more but it is worth it.
If you are lucky enough to have land that hasn't had sheep on it for many years, if you can get stock that are guaranteed free from orf, footrot, with some sort of assurance on scrapie, plus no abortions on the farm, then you can start clean and have every chance of staying clean if you keep a closed flock.
It will save you a lot of heartache down the road. You only get one chance to start a flock!