I'm in the same boat, Brent. I used a pen and paper approach for a couple years, but then decided to move things onto my computer. I tried a few pieces of collector software myself, and found them to be wholly inadequate affairs. I've also tried Microsoft Access, but finally settled on Excel myself. Much as you describe, I have different sheets for different categories of item, and record things like date of purchase, seller information, then various details about the piece.
I still find the whole setup a little cumbersome, and have often wondered how other people kept their records; I'm always looking for a better way!