Once you've decided to start an AiO campaign. the question then becomes "How to begin?" Do you want the characters to be new arrivals in Oz? Natives? Some combination of the two? Canon characters? New creations?
A "new arrivals" game has a number of advantages. First of all, it doesn't require the players or the characters to know much about the setting before play begins. Also, it puts the players in something very similar to Dorothy's (silver) shoes, allowing them to connect to the setting that way.
While everyone is familiar with the tornado that swept Dorothy to Oz, it's not the only way to get there. Shipwreck is actually the most common way to arrive in Oz (though Oz is surrounded by desert and has no shoreline, there are a number of fairy countries surrounding Oz that can be used for adventures).
If your players are a bit more familiar with the setting or simply enjoy testing the flexibility of the character creation rules by coming up with wacky characters, a natives campaign is also totally doable. Wandering adventurers like our friend Woot are also out touring the land of Oz, so it's no stretch at all to accommodate your group of traveling adventurers.
Another question to resolve is: How did all of the characters meet and become friends? Are they outsiders who all traveled to Oz in the same incident (like in Dorothy and the Wizard in Oz or The Road to Oz)? Or is one character an outsider who makes friends as they explore the land (like in The Wizard of Oz)? Or are they all natives that are all on the same quest (like in The Patchwork Girl of Oz or The Tin Woodman of Oz)? Do your players want to play out the process of meeting, or assume that the adventure proper begins after the characters have already met?