I started out buying short ends and offcuts from a local metals merchant, but they were still pricey. A while later I found another merchant that had a scrap bin with all the offcuts and short ends they would sell what I could carry by hand for $4, a big improvement, but still it would add up, and most of their stuff is fairly light, good for some projects.
Then a chance meeting with a friend of a friend who ran a steel fabrication shop. They ran a fabrication shop welding up quite large structures using large RSJ I beams etc, also square and round section, heavy walled tubing, angle iron, etc. So after discussing my hobby he offered to let me have anything out of his scrap bin, a large skip, whenever I wanted for the price of a slab of beer once a year, for their Xmas party. I Haven't had to buy steel since then, Brass, aluminium and other metals are a different story.