Yes, it's better to build them somehow organically, creating good content that's linkable rather than just buying an ad.
Say you are an electrician, you could think of getting some links via your suppliers, your clients or even media coverage. All of these would be a lot more natural.
Also social links (twitter, facebook & googleplus) would help you too.
Buy permanent links will probably be expensive for quality websites, most will sell on a per year basis, but that might cause issues once they are removed, or sell them to someone else. It's also hard to get paid links that don't stick out too much.