yah, that's often how we do it. We go shopping every two weeks (with the occasional farmer's market stop during the season, and the purchase of a CSA). I go over the circulars beforehand, and we have our shopping list sorted by aisle, so we only go down the aisles we need. And we usually go to Big Lots, Shaw's, Walmart, and Price Chopper (depending on sales and what we need to stock up on) all in one shopping trip. Once a month we add Costco to that list (which can also result in a stop at the bagel factory, gagnan grocery, or cheese trader).
I shop where I can get the cheapest versions of whatever it is I'm willing to buy.