Building a Portfolio

I've been working on the idea of visiting local galleries to present my work for consideration.  One idea that I'm leaning toward is putting my digital portfolio on a thumb drive to drop off with gallery owners.  It's an intimidating thing, putting yourself out there.

Are there dos and don'ts for approaching gallery folks? 

And, I generally use materials that I can get my hands on quickly and cheaply - Are there specific materials to avoid when searching out a professional venue?

I'd love to hear your feedback and ideas!