It really depends on how deep you want to get into it. The basic composite/S-Video capture devices on Amazon/eBay/AliExpress do work if you want something really cheap. Combine that with a distribution amp so you can play on a TV while you capture. Or if you want a higher-end setup, a RetroTINK-5X plus a component video cable and an HDMI capture device will get you the best possible quality from original hardware.