Pheroze, Most of the guys here have pretty much said it all, but I will add just a few words.
Starting with the bullet/weight that you want is a great place to start. But remember, just because you may want a 300 gr Barnes bullet, your rifle might like the 300gr Nosler, Speer, Hornady or others. While reloading is fun and addictive, it can also get very expensive. The fun part is the multiple trips to the range, trying to figure out the combo that your rifle shoots best. The expensive part is the multiple bullets and cans of powder you will go thru. When you buy a box of bullets only to find out that you rifle does not really like that brand, than you may need to drop some more cash on an different bullet. In the end, I still believe it is far cheaper to reload if you can vs. purchasing factory and I think you can get better accuracy if you try.
For the different bullet selections, there are a few stores in the states that you can purchase "sampler packs" of a specific bullet, normally 10 or 15 slugs per pack. I can normally determine if my gun like the bullet by the time I shoot 3 group with different powders. That may be a good place to start, of if you have a favorite bullet company, start there. My first choice has always been the Nosler family. I can normally find a combo that will shoot good in my rifles. Once I get an acceptable load with Nosler, I will venture off into the Barnes, Hornady and Speer families to see if I can find something better. Sometimes I do, other times, I stay with Nosler.
(NOTE: this is not an advertisement for Nosler, it is just the bullet that I started my loading with 20 years ago and I am comfortable with it. I am sure others that like the Barnes, Northforks ect, this is just my personal preference for a "starting point")
For powder selection, my thought process has changed lately with the chronic shortages. If you are going to reload multiple calibers, after my initial bullet selection, I look at powders that will server more than one gun. For example, Reloader 15 is listed in the Barnes, Nosler, Speer and Hornady book for the 375, and also for the heavier slugs in the 30-06. So if you have two or three rifles, that may be a good place to start your search. If you 375 does not like the powder/bullet combo at least you can use the powder in a different rifle. Also, with the current shortage, you may end up starting with what ever powder is available locally!
I am similar to Brick, ACCURACY is my goal. That may mean that I am at the bottom of the velocity scale on some of my load selections, but if I can shoot sub MOA at the distances I am looking at (100 or 200 yards depending on the rifle) I am OK with that. My selected target will not care if the bullet is traveling 2700fps or 3000fps...a well placed shot in the boiler room is going to put it down.
My final suggesting is this....As a new reloader, stay within the published load data. Many people like to venture past the max listed loads. If you know the pressure signs and have lots of experience reloading, that may be OK. But not always the a good place to start or venture if you do not have a good understanding of what you are looking for. I have been loading for well over 20 years, and have VERY RARELY (read as once or twice) felt the need to go beyond the max listed loads to find one that works well in any of my rifles.
Have fun!