Lots of great advice given already. I definitely think that if you are going to go the rescue route, you should get involved with a local rescue now, as a volunteer, and then as a foster, before you try to bring home that "forever" rescue pup. Like someone else said, if you can foster, it's like a "dating" period to see how that dog fits into your household... and if it doesn't fit in, you aren't stuck in a "do I keep the dog or send it back into rescue" dilemma. It also lets you get a taste for how much work you'll have to put in to own that particular rescue dog (because each one is different and will have different needs). Shelties can be a challenging breed to own under the best of circumstances. Choosing a Sheltie as your first dog is definitely diving into the deep end... and I should know, since that's exactly what my husband and I did! Speaking as a first-time dog owner (not counting the Family Dogs we had as kids, of course), I can say now with great confidence that if we had gone the rescue route, we would have been completely overwhelmed.
To be fair, our local Sheltie rescue won't even consider any applicants without a fully fenced yard, so we were out the running immediately. Therefore, rescuing was never a serious option for us, though it was the first place we looked when we were originally looking for a Sheltie. Like you, we were hoping to get a great dog that had already gone through that difficult puppy phase (especially the housebreaking). We were hoping that for a small fee and a happy, loving home, we could get a happy, healthy dog who came with all the basic training covered. Even though we didn't have a fenced yard, I continued to watch the rescue site, figuring that we could put in a fence if the right dog came along and made it worthwhile... Well, in the year+ I watched that website, they never had one single "easy" dog come through. Every dog had serious health and/or emotional issues. I knew my husband and I, as dog novices, would not be able to give a "Special Needs" dog the care it would need to thrive... not even considering the cost of ongoing health issues.
At that point I started to seek out a reputable breeder, and I've been so pleased with the results. Yes, we had to do all that puppy phase stuff. Housebreaking wasn't as easy for us as it is for most of the folks on this forum, which was a bummer... but we got through it ok. And, as others have said, there is always the chance of adopting an older pup/dog from a breeder, who has already gone through the puppy phase and is either retiring from the breeding program, or was being "grown out" as a show prospect, but didn't end up "show quality" after all. This would be a "best of both worlds" scenario, really, as it would allow you to skip that difficult puppy stage, but also have the benefit of careful breeding and health guarantees.
If you do go the breeder route, as others have said, it is paramount to find a good breeder. Your local ASSA breeder referral would be able to point you in the right direction there, as others have said. If you are thinking of adopting an older puppy or adult dog from a breeder, I'd definitely make sure to find one whose dogs are pets as well as show dogs, as Tagg described her own dogs. I know there are some folks on this forum who have adopted retired show dogs, and these dogs are just as difficult to work with as some of the puppymill rescues, because the show dogs were never really part of the family, so they didn't have the social skills necessary to fit into the family easily.
Whichever route you choose, patience and diligence are key. You have to wait until the right dog comes along, you have to be diligent in training and socializing it to fit in with your family and lifestyle (and this is true regardless of the dog's age and origin), and you basically have to be willing/able to pay a fortune in vet bills in case the dog becomes poorly (again, regardless of dog's age/origin)... because as BarbV's case illustrates, even dogs from the best of bloodlines can be dealt a bad hand in the genetic department. Of course, a good breeder will offer a health guarantee, to either help defray the costs of treating a congenital issue, or offer to replace a dog who shows congenital issues, so if you do not want to take on that burden, you should not have to. Of course, the longer you have the dog before these issues crop up, the harder it will be to send it back, so bear that in mind as well!