It's case-by-case depending on what you're looking to buy and how much of it -- I haven't found one form of buying, online or locally, consistently trumps the other.
Obviously one box of (fill in the blank) bought online for, say, $20 probably isn't worth the shipping cost unless it is a required round and impossible to find locally.
Ten, twenty boxes, more -- then shipping starts to be less of a concern in relation to total cost of the ammo.
I like to figure out what I want, search around online to get a sense of who's charging what, as well as call local stores and visit shows, and buy based on that.
On the other hand, in the current buying climate if you really need something and it's difficult to find, buy it when you see it, I suppose.
What round of Golden Sabers are you looking for?