I would say it's like most things, if you can do it yourself then in the long term that might work best.. but then if you don't have time then it can pay to get some help.
Depending on how competetive your sector is, you may be able to pick up some good rankings with good quality content and strong on-page optimisation.
For your initial link building you should start by trying to identify the main sites in your area.. there will likely be some niche directory sites that you can submit to, and that should give you a kick start
One think to be wary of with link building is the types of sites where the links are built and also what happens if you cease working with the company - will these links that have been built stay in place or will they be removed?