Collecting them yourself and acclimating them to captive life will be far more challenging than simply buying them. That might make the idea more or less attractive to you, depending upon how you feel about such things. Collecting is huge fun...in my opinion...and provides a great deal of personal satisfaction...again, in my opinion. It's also a lot of work...and that is fact. Decide how you feel about that.
And please don't convince yourself that a fish you buy has no parasites or diseases. They might have fewer problems like that...or, due to overcrowding, possibly poor conditions and uncertain nutrition, they might be much worse off than wild fish. Any fish you bring home, from any source, are at risk and should be quarantined carefully.