I think that the most important thing here is to say whether your support towards a society or group is monetary support, or physical support. (The latter often combines the former!)
I actively support as many different groups as I can in monetary terms, most often simply by attending gala events and partaking of all the activities. Buying from the group's stall, such as I did at the Swanage diesel gala a few weekends back, is an excellent way in which we can all help. A few pounds from everyone will quickly add up!
Physical support in my opinion can only be performed when you are in the immediate area of the group or society. Having lived at Salisbury in the past, technically the nearest preserved railway I could have helped at was the Mid Hants, but even that is quite a jaunt.
My local, the PVR, is now a mere bus ride away, and that is perfect for me. I'd love to maybe look into the diesel groups at the South Devon or the Bodmin and Wenford, but again distance and cost is an issue - before I've even got there!
So there you go, location is by far the most important aspect to me. I have just got extremely lucky that the PVR allowed a class 50 to take up residence! Not to mention the 37 that's currently in the sidings as well...