I have done this before, however, most sets have a few parts that are expensive and you end up spending more. I also have found that the cheapest Bricklink shops have higher minimum order. This is ok if you want to build several sets, but if I need only $10 worth of parts and the minimum is $30, I'm forced to buy more. I could go to a more expensive shop where there is no min. order but then I would probably spend $2-$5 more for the same $10 bag of parts I could have received from the cheap shop. Now I would be just wasting my money and driving myself crazy over it. I will then go back to the cheap shop and order the $10 worth I need and spend $20 more on parts that I think I will need in the future (and I'm usually wrong).