Current AI/ML methods for data-driven engineering use models that are mostly trained offline. Such models can be expensive to build in terms of communication and computing costs, and they rely on data that is collected over extended periods of time. Further, they become out-of-date when changes in the system occur. To address these challenges, we investigate online learning techniques that automatically reduce the number of available data sources for model training. We present an online algorithm called Online Stable Feature Set Algorithm (OSFS), which selects a small feature set from a large number of available data sources after receiving a small number of measurements. The algorithm is initialized with a feature ranking algorithm, a feature set stability metric, and a search policy. We perform an extensive experimental evaluation of this algorithm using traces from an in-house testbed and from two external datasets. We find that OSFS achieves a massive reduction in the size of the feature set by 1-3 orders of magnitude on all investigated datasets. Most importantly, we find that the accuracy of a predictor trained on a OSFS-produced feature set is somewhat better than when the predictor is trained on a feature set obtained through offline feature selection. OSFS is thus shown to be effective as an online feature selection algorithm and robust regarding the sample interval used for feature selection. We also find that, when concept drift in the data underlying the model occurs, its effect can be mitigated by recomputing the feature set and retraining the prediction model.