I just finished building 10190 Market street about a week ago. To aquire all of the pieces i had to buy from 17 different bricklink stores! On average i would say it took around an hour to order from each store if you take the time it spent to search for, find the right one, add pieces, place the order, pay the order, check the tracking, dealing with messed up orders, give feedback, etc... Also i had several stores mess up the order, missing peices, one send black pieces instead of dark blue, you name it, it went wrong. With that being said i was able to build a 99% accurate 10190 Market street for $300 which would have easily cost $600+ on ebay or bricklink.
That was a 1200 piece set, so the larger it is the more time it would take to order the pieces. So for these popular, low supply, high demand, high dollar sets like Market street, corder cafe, etc... it is worth building piece by piece. I wouldnt however bother on cheaper retired sets, for example medieval market, emerald night, etc... you would end up spending way more building it than you would buying it used.
In the end youre really just trading your time for savings. if you have a lot of free time by all means build your sets peice by piece if it saves you money. I personally dont think ill ever do that again, i work to many hours and my time is very valuable to me!
Not trying to start an argument, i promise! I feel its still important to make the most of your time. For example i run and ebay store selling items other than lego, at one point i was selling items and was only making about $2-3 per hour, instead of going home early to fill ebay orders i could have just stayed at work for an extra hour and make 10x that. In the end i just focus on higher dollar items. I think that applies for building sets piece by pieces, as long as you focus on the high dollar sets items worth your time, for the smaller, cheaper, more recently retired items, just pay the extra couple bucks and be done.
Also as someone mentioned the dark blue arches will be coming out soon in the winter market set, i purposely build by market street with black arches and figured i would just wait 6 months and buy them for $0.50 a piece instead of $5.00 a piece!