I'd like to get the UCS Death Star, but it's too expensive :(
I got the build manual, and I see what bricks I need. I am thinking of buying them separately via Bricklink.
Has anyone tried doing that?
There is a whole site dedicated to working out how you can build a particular model using parts from other sets - Rebrickable. A combination of that and Bricklink would be cheaper as you'd end up with fewer extra parts.
There's also a thread on EuroBricks where someone has done what you're doing and there are some useful tips (mostly about buying as much as you can from a small number of sellers to avoid huge postage costs). Brickset's "links" tab is handy for more information on the set.