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You need to start somewhere of course, and to refine your collecting after making an initial assessment.

Hi,

I agree with John in considering that you need to define an effective and limited area of study. It depends also of what you expect to obtain in your study and what you expect to proove or show. It depends also on the species (order, family), for which sample techniques will be different from a species to another.

You could start your study in gathering several specimen of a species from all the countries, places or regions where it occurs.

Hi,

I agree with Francois. It depends on the species.

I also agree with Francois, you should start broad, and depending on the results, you might want to consider fine-tuning of sampling distances. Maybe you will find no significant differences between the sampled localities, in which case you don't need to sample in-between localities as well. If you do find differences, fine-tuning may depend on other factors than distance alone (environment, latitude etc). So just start, run a first analysis and then re-think your method.

You can also use natural history museums and collections. If your species have been collected and stored in museums around the world you can get good samples. And ideas where to collect your focal species based on their label data. There is so much information in collections they are usually gold mines and good places to start to get information about where to sample or actually get the specimens.