Definitely a good idea. I've been building up a nice assortment of hardware since I started the hobby and it's been invaluable. Nothing worse than having to stop dead in the middle of a project just because you're missing a few screws. Lately I have been using Bolt Depot and I've been very pleased there. Good selection, fair prices, fast shipping. They allow you to buy 1 screw, a whole box, or anything in between.
I also check on Ebay chop-shops for the screw sets from various RC kits. You can usually get some pretty good assortments for cheap. I download the manual for the vehicle and flip through it to get an idea of what types and sizes are included.
