Research which books you are interested in purchasing. The rarer the book, the harder it will be to find a first edition.
Search for the book in thrift stores or from other resources. Sometimes you can find better deals on these books than you will find from a collector or local merchant. The person selling the book may not know the difference between a first edition and a re-print.
Look in your local papers for estate sales or yard sales. These can often provide for good hunting grounds for rare first edition books. Quite often, people will have them sitting around in storage and decide to sell them at a fraction of the cost. This will probably be one of your best resources for finding rare first editions.
Network with other collectors in the area. If you can find like minded people who are into collecting first edition books, you can get information from each other, and tip each other off to the location of some rare books.