Hi Jim,
Like everyone else, so far, I think this a great idea.
Having been a former(or inactive) Stamp Collector, this idea brings to mind the Headquarters for the American Philatelic Society in State College, Pennsylvania. The stamp club has owned their own building there for a long time. A few years ago, they built a new extension or rebuilt part of the building. To help finance it, they sold bricks to members, where the collector's name is engraved on a brick. The Gaming Collectors Building Committee could contact the APS and get some info on monthly and other costs and other things.
The stamp club also does seminars (mainly in the summer) and uses the facilities at the University. They have some connections with the school, similar to what has been suggested here with UNLV.
Meanwhile, sorry, but I have to keep selling off parts of my collection to pay for my new chips and I have no building to donate.
Thanks for a fresh idea that seems to have gotten lots of peoples' juices going.
--Alan.