Hello Derek, does Nostr collect IP address and any other device information?
Welcome new Nostriches! Why would you want to run your own relay?
You don't have to do it. However, if you do, it puts you in charge of your social data for the very first time! No one can delete your notes or events. You are in change of your own data! Your notes cannot be banned, censored, or deleted. If any of these were to happen on any of the public relays that you use, you simply rebroadcast your notes and events to other relays. It's beautiful.
The easiest method is to use one of the "node" platforms out there from nostr:npub1aghreq2dpz3h3799hrawev5gf5zc2kt4ch9ykhp9utt0jd3gdu2qtlmhct , nostr:npub126ntw5mnermmj0znhjhgdk8lh2af72sm8qfzq48umdlnhaj9kuns3le9ll, or nostr:npub1r29mgme6rnyj5sljdnerfty9ewwnj2nje76d0qqyhvt0wkhncxvsyc23pd . However, if you aren't afraid of the command line and have your own hardware, you can use Nostream by nostr:npub1qqqqqqyz0la2jjl752yv8h7wgs3v098mh9nztd4nr6gynaef6uqqt0n47m . https://github.com/cameri/nostream
You'll want to make sure your relay isn't writeable by the world, but is accessible and writeable by you and maybe your friends and family.
If you have questions, jus ask. Good luck!
Discussion
Clients and relays may do this. Most do not, but they can see your IP. You can run your own client on your own desktop or server if you'd like. You can also use a VPN or even TOR to access TOR relays.