When do I buy the runes?

I am a returning player and when I last played you had to farm all runes, some took insane amount of time or effort.
Now it seems you can simply just by them in main city!
Can I just buy all of them and put all on at once even when I am low level?

Yes you can buy them directly, in your start zone or Orgrimmar/UC. They cost 1 copper each. However, there may be some that you can not benefit from yet, if they are meant for higher level abilities that you don’t have yet.
I bought them all and sorted it after applying, since the rune names mostly don’t explain what they do. So you can apply them, then check your character window to see what they do, and apply the ones you like/can use. If there are some that you don’t have the corresponding ability for yet, they will sit there for later.
Then as you level, you will be able to change to others when you get new abilities. So I check my runes now and then, to see if I want to change them.

Is there no “best in slot” or best “runes” for Warlock?
I checked wowhead but they only list them all. There are like 3 for each slot and you can study it forever to guess which one is helping you while leveling.
yawn.

I don’t know if there is “Bis” for runes. But I think they are generally suited to the different specs that a class can have. So it would depend on what spec you want for your class. And read through each rune slot, to see which one would be most beneficial/fun to the spec you want.

for which warlock ?

Here’s the leveling build for affliction from icyveins

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While levelling, the best runes to get are spells. Rune spells scale with your level instead of spell rank and cost a lot less mana than baseline spells.