I've started manually downloading and adding them. I get most from Amazon.com
The problem with letting iTunes add them is it adds them as a library item, rather than embedding them in the file.
I have a music server. Four computers with 4 copies of iTunes, each accessing the same music files, but each with their own library. If I add them manually, they're automatically there for every computer. If I add them through iTunes, I have to authorize each of those computers for iTunes purchases, and let iTunes add them all again.