step 1. check pricing online and compare shipping to your door and to a freight forwarder just south of the border - ie TSB in point bob
step 2. check stock/pricing with a few local shops. if you have a good relationship with your local retailer they may be able to get close(r) to what you find online. i've had a couple of instances where the retailer brought the price down low enough to make a trip south not worthwhile.
step 3. decide if the money you save is worth it by ordering online.
so far i've found it to be about 60/40 whether i buy on-line or locally, and this is a combo of price, availability and the convenience of not having to drive down to point bob to pick something up. (note: this does not include used stuff which i almost always get out of the states) if i'm going to save less than $25 on a run across the border by buying online then i'll go local as my time is worth more to me than the drive south. if i know i have a few things to get and can save more than that and time is not critical then it is worth going south. i find that once you factor in all costs, aftermarket items are typically more competitive on pricing that dealer items. every once in a while though i get surprised and the dealer not only has what i want/need in stock but at a pretty close price compared to onlinen.
and just a note for used goods, last time i was south the CSB guys were saying to bring copies of emails/pm etc that shows agreed upon pricing for used items as if they bring you in for a check they can and may charge you duty/tax on the value of a similar new item. i've only had a couple of times where i've been asked for invoices and i've found in the past that for under $250 dedclared value they seem not to care; but that may be changing.