The best sources I have found for building a cheap army are:
E-bay - I got super cheap Space Marine scouts still on the frame, and some bits to repair tanks etc.
(This is quite obvious for most savvy gamers nowadays)
Webstores - Cheaper Space Wolf Pack box sets
(Most have a good 10-15% discount on normal high street prices)
Trading - see examples below (This oddly has been my main source)
Your old armies - see below (If you have been gaming as long as I have then you have some old minis knocking around)
Most folk know of good web stores like Firestorm Games, Wayland Games,and Malestrom Games, as well as e-baying little Timmy's old marine army.
For my Space Wolves I have traded bits for bits. I have gotten a Land Speeder for my old Dark Angels Codex, a Rhino for a truck load of Imperial Guard tank accessories, a few Space Marines bikers for the metal Bjorn the Fell Handed Dreadnought, as well as bits for other bits (arms, weapons etc).
Some popular forums now have trading areas but as with internet activity buyer beware. 40kforoldmen, 40kforums, and Warseer all have trade areas, and I guess many others do too.
My last source for cheap gaming is old models and armies. My Space Wolves are probably 70% recycled from my old Space Marine army - the Sons of Aran, or as they are more commonly know as - The Tic Tacs (hence my username). I did this by stripping down my old Space Marines of paint and where possible break the models up in to sections (arms, legs, torso etc) though to be honest quite a few fel to bits in the stripping process!
So a Space Marine went from this:
|8 Year old Metroid fan boy to....|
To this: (a very unfinished Space Wolf):
|.......... badass Space Viking!|
So what has been recycled in the above model?
Legs, Shoulder pads, and the back pack.
I have some models where it's all old Space Marine parts except for the Space Wolf head, or the legs, or just the arms. Some models are purely Space Wolf. It's a credit to the sheer number of bits you get in the Space Wolves pack set that you can kit bash so much.
While mixing the 2 sets of kits I kept to (vaguely) strict system of the more senior the Space Wolf the more "wolfy" bits which kind of fits the background as they acquire talismans, honours and such things over time. So my Blood Claws are quite plain with only a few Space Wolf bits, and my Grey Hunters have a larger selection of Space Wolf bits - mainly weapons, torso, legs.
Using the above guideline I have made 2 Space Wolf pack box sets and my old Space Marines to make over 60 Grey Hunters, 20 Blood Claws and a few Wolf Guard!
I would like to thanks those who I have traded bits with over the last few months:
The Student (40kforoldmen)
edmundblack (40kforoldmen, 40kforums.com)
My poor abused fingers for stripping models!
Lasty I would like to thanks those of you who have helped me personally during my unemployment - Suzie W, Suzanne T, Mook, Tom (thanks for asking me to be your best man!) and the rest of "Da Wot Notts", Lucy and Ken, my family, and my girl friend Lucy.