I think Nagato will sneak away, and talk to Tobito.
Then he will say he's not gonna join him, but he will still listen. Tobito will say it's okay, and give him "some advices" - like getting more members and starting an official group. So they can work on Yahikos plan (getting to know peoples pain).
Then Tobito's gonna stage the whole Hanzo thing, and when Yahiko is killed Nagato will turn to Tobito and ask for his help.
I also think there's two reasons Nagato is intriqued - Firstly, he wan't to help Yahiko, and sees this as an opotunity. But other than that this is the first time he's met someone who actually knows alot about the Rinnegan, and someone who can perhaps teach him about it.
He learned the techniques somehow, and somehow he was able to summon the Gedo Mazo. To do that I believe he would be needed to be told how to. Since it was originally left in Tobitos position.