Luckily we have had an Auxiliary since 1954 so I didn't have to start one here.  However, I have served on volunteer boards that wanted to start one.  First I would gather an advisory board of your current volunteers to help draft bylaws (and you can get samples of bylaws from various auxiliaries in your area), to deterimine the mission of your auxiliary, and to decide exactly how it should operate within your particular hospital.  Hopefully your hospital administration already has an idea of how they want to auxiliary to operate, its purpose, etc.  You'll also need to decide if your auxiliary will operate under the parent hospital's nonprofit status or if they will establish their own.   If they are to operate under their own nonprofit status, you will need to apply for an IRS 501 (c) 3 status.Then you need to get a nominating committee together to arrange for a slate of officers to govern the auxiliary.

As far as pros and cons:  Pros: an auxiliary is a great financial support for the hospital.  Their fundraising efforts can support everything from hospital projects to scholarships.  An auxiliary serves as a good PR part of the hospital.

Cons:  sometimes it is difficult to get volunteers to serve as officers.  And sometimes you get someone who is a real challenge to deal with as an officer which is why your bylaws should set limits on term of office!

All in all I have had a good experience/relationship with our auxiliary.  I serve as an ex officio member on their board and the DVS is the liaison between the auxiliary and the hospital CEO.