I have built an almost complete 1915 set (2 missing) over the last 9 years. I personally prefer the PSA holders but I bought the best card I could find in the condition I was looking for/could afford in either PSA or SGC.
I find the best prices are usually paid here on this site in the BST section, finding a friend who is upgrading the set, or buying on eBay in auction format. I found that I paid the highest prices at the auction houses and I would advise only getting cards from them that you're having issues finding from the other areas (not to mention you usually find only the highest grades there). Of course just like anything else though an occasional bargain may show up in the auction houses.
I would also stay away from buying raw cards with the idea of having them graded until you think you've learned enough to be able to grade them accurately and can detect trimming, bleaching, etc...
I have a friend who is selling off his collection. Just pm me if you're interested and I'll provide an introduction.
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I collect 1914/15 Cracker Jacks.
1915 Cracker Jack Set 99% complete.
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