Here's the analysis I did using Beckett high values:
http://www.net54baseball.com/showthread.php?t=183323
To build a set card by card will always be a losing proposition from a financial standpoint. The whole is cheaper than the sum of its parts.
However, we're all collectors here and enjoy the thrill of the chase. If you enjoy building a set card by card, then do it. But understand it's probably costing you a little money.
I think the '72 set is a perfect example. You can buy a decent mid grade set for a little less than $1k. There's 130 high numbers in a '72 set that will each run you $3-5...some slightly more so just the highs will cost around $600. Then you've still got 656 more cards to chase including Mays, Ryan, Clemente, Aaron, Rose, etc.