There's really two ways of doing things and it all depends on how much work you're willing to do and how much and what type of customisation you're going to do. If you're making relatively minor changes to the templates (adding small things, moving some things around), then I'd recommend just making your changes to the luna template set (changes of course going into the local directory) and putting your CSS overrides in luna.css. On the other hand, if you're making significant changes then you might want to create your own template set. The other reason for duplicating the template sets is if you're worried that future upgrades could affect your templates. In that case you would duplicate the templates and diff them with the originals after each upgrade.
So to summarise:
- just working with the luna template set: less work with upgrades (new features automatically working on upgrade), but slight possibility of breaking if you've heavily customised your site.
- making a duplicate of the luna template set: a lot more work with upgrades (need to go through the diffs and integrate your changes), but your templates will work as they did before
Adrian