Buying doujinshi can be quite expensive when you bid on already inflated auctions, where you'll still have to pay for shipping, service fees, and wire transfer fees through a deputy service.
While auctions are great for buying truly rare items, you should always check Japanese online stores like Messe-Sanoh, Toranoana, Melonbooks, and Mandarake before placing a bid. Not only can you get an idea of the "retail" value of a doujinshi, you can also see if they happen to have it in stock. All of the shops mentioned except for Mandarake, only ship internally (to Japan addresses). To work around this, deputy services--companies that buy these items on your behalf for a service charge--are plentiful.
If you google "deputy service" you can take your time and go through each company to decide which will give you the best price. I've successfully used Rinkya, Crescent Shop, Shopping Mall Japan, and Goody Japan. They're all different, but you have to consider what you're buying to get the best deal from each.
Deputy shops will do the buying for you, but you still have to find the doujinshi you're looking for. Basically, you'll find the link for the item you want (and it has to be on a page you can order the item from) and they will buy if after you've paid them for it. Some shops will let you pay just for the items, and others will have you pay your service fees and shipping all at the same time. All of the Japanese doujinshi shops mentioned have on site searching, so you can find what you're looking for pretty easily. If you're uncertain about how to compose an artists' name or circle name in Japanese, try using the Doujinshi Database where you can search the romanized name and get a page that (usually) includes it in Japanese.
Also, be aware that all items from Mandarake are used. But from my experience, Japan's used is usually in excellent condition when it comes to doujinshi (though I can't say the same for art books…). If that worries you, stick to buying new or from auctions that give you a better description of the item's quality.
If there's anything else I can clear up, just let me know and I'll keep adding to this little guide.