This is entirely up to you. Purchasing wine from a store is like buying milk or bread. Purchasing wine direct from the winery is an experience.
By visiting a winery, you will learn so much about the wine and the people that produce it, that you stand to gain new appreciation for the wine. You may also learn of other wines they produced that you might like and which you would not know about if you went to the store. Also, you may learn of case discounts and upcoming events happening at the winery.