After selling on etsy for about a year I decided to set up a mailing list. What I did was email (BCC) my previous customers a short email from my own address, saying basically:
Hello, You're receiving this email because you bought something from my Etsy shop Mog's Togs cat collars. Next month I'm going to start sending a monthly newsletter which will include new styles, news, and occasional discount codes and special offers. If you would like to receive this newsletter, please click here to subscribe. If you don't click then please rest assured I will not contact you again. Thank you! Rachel
I didn't have any complaints and I think about 20% of people signed up. I sent the above email in batches of about 10-15 people at a time, just in case I got a horrible reaction from the first ones! I can't stress enough, make sure you are blind copying people in, do a test run first with your own or family's email addresses. You do not want to go sharing your customers' addresses around! The sign up link in the email was a mailchimp link and from then on everything has been done through mailchimp. Since that first "batch" signup, I have added a mailchimp link to my shipping notifications for all 3 of my online shops and periodically get people signing up to it.
Definitely safer to have people opt-in then require them to opt-out. I have had etsy shops add me to their mailing list after a sale, and if they don't use a proper mailing list provider you have to personally email them and ask them to remove you from the list, which is (I think) awkward and rather unprofessional.