Step 15: How to Order Lego Parts - Ordering
BrickLink is usually a little cheaper than pick a brick and I would try searching the BrickLink in depth first and using the LEGO site as a fallback. It pays to get anal about comparing stores! On BrickLink I tried to use the 10 largest stores in my state and compared prices for each one (using a store in your state should cut down on shipping). This is necessary because many stores have limited inventories and prices may vary considerably. Unfortunately, some parts may not be available or are ridiculously expensive. If this happens try changing your large or uncommon parts for smaller or more common parts (like a 2x16 to two 2x8). This may require that you alter parts of your design a bit but hopefully your case will work out alright. If there's no way to do a BrickLink order for a part try Pick A Brick but know that the prices are usually a little bit more expensive (they do have a basically unlimited supply though…).
Try ordering lego brick separator too if you don't already have one. This is handy for taking bricks apart during the build and saves lots of time. I think I used this at least one hundred times while I was building (that's not an exaggeration).