After you buy one fig, take it out to the car, open it, and bring the little paper insert back into the store. That way you'll have a nice little fold-out guide to what to find.
What I do is find a little open patch of shelf, and as I'm going through the bags I lay them out in a 4x4 grid matching the layout on that insert. That makes it easy to keep track of what you've found and what you're still seeking, whether you want to get a complete set, or just get all 16 laid out and then decide which figs you want. Look for what's unique and relatively easy to feel in each fig. E.g. one of the ones I really wanted from this series is the grumpy old man, because I want to give my sig-fig that bald head piece. It turns out that's the only fig with a 2x2 tile, which is pretty easy to feel. Other things are pretty obvious, like the shield, the paint roller, or the medusa legpiece. Long thin pieces like the spear, the musket, even the wrench are pretty easy to find as it is easy to shake them down to the corner of the bag. Once you start laying them out in order, you can often start recognizing bags pretty quickly as ones you've already felt.