We usually make our own shims from old scrap lumber. When I was at the store I saw shims for sale for $5 a bundle. Wow, I should start selling shims for that rate!
I think it depends on what you're doing. If it is a smaller project, we look around at what's laying around and make our own. For larger projects where we need a ton of them, we've been known to grab some at the store. Sometimes it's just easier to have a bunch that are relatively the same size stuffed in your back pocket to pull out as needed.
I guess it is easy for us because we have a table saw set up in the basement and my husband does fabrication work every day. When ever he has extra wood he will make shims so we have a good deal of them in any length we need.
I guess as more and more of us are getting into diy projects some find it easier like Tabitha said to just go buy it as it saves time and effort then again others are a little less willing to do it when they can just buy it to make the project run quicker.