Go and visit by all means but once you've worked out the materials you need, get on the telephone and start calling around for prices. They will price competitively to get your business. If you just turn up at the shop they will probably quote you full retail prices. I've saved as much as 40% by doing this with builders merchants.

I tend to pose as an office worker of a property management/maintenance company when doing this because it a) makes me appear to be in the trade, and b) gives me a get-out if they ask me something I don't readily understand. Works like a charm!