To actually address more your question. What SFX do you have now? As Brad said DJ has a lot of sound for not much money and some are pretty good (some are near useless but your getting around 11,000 for the price of a couple of disks from the "big boys"). There are a number of collections that are good to own even if you do go out and record most of your own stuff. The WORKS is a great collection of stuff that would be very hard to put together on your own. Also Sonic Boom has some very useful disks of gun sounds. One is all shots and one is all Foley FX. Sound Ideas has a HUGE collection but I find them a bit lifeless, Hollywood Edge has better (more life) recordings and almost as big a collection. I do believe you are better off going out and recording what you can. My second choice is to get sounds others have recorded. You can often trade (if you have your own recordings (see a trend)). I have a couple of hours of recordings from New Zealand that came as a result of a trade. This is also a good way to get backgrounds from places you cant get to. It's not always a direct trade. A lot of times I'll ask for a sound and someone will give me a link. But it's also implied/ expected that I will reciprocate if they need something. Your relationships break down if your always asking and never giving.
Lastly I use commercial libraries, mostly for stuff I'm not likely to record like guns.