The way I've always done my set building is by attending a larger show (usually the Sun-Times in Chicago) and loading up on the commons there. Uncle Dick is by far the best as his cards are priced to sell. That way I avoid having to deal with multiple lots, shipping costs, and I can see first hand the condition of each card so I know they're graded consistently.
Then I hit e-bay to fill the holes and pick up the stars. Battersbox is a first choice, but Sirius is an excellent value as well. I agree with joesvintage, tripleplay and mantlerulz. I haven't been disappointed with any of them.
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