You would look for the desired Warframe from the missions and keep repeating the mission until you obtain all the parts. Some of them are special like Inaros, Octavia and Chroma which needs another a long time to obtain if you are a newbie.
in 3 steps
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Every game has some quests for which you will receive Soul Gems.
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I have gotten onto Venus but I'm still using the excalibur warframe. How do you guys get all the materials to build waframes?