In our campaign, we do a little of both.
For very minor magic items and in rare cases, not so minor magic items, we can usually find someone we can purchase them from, albeit at an inflated market price. We play a Forgotten Realms campaign, so our main source so far has been the Red Wizards.
However, for the more powerful magic items or more useful ones, we usually speak to the DM about what we want. Hopefully, the item in question, or something similar, will be found in upcoming adventures.
For very minor magic items and in rare cases, not so minor magic items, we can usually find someone we can purchase them from, albeit at an inflated market price. We play a Forgotten Realms campaign, so our main source so far has been the Red Wizards.
However, for the more powerful magic items or more useful ones, we usually speak to the DM about what we want. Hopefully, the item in question, or something similar, will be found in upcoming adventures.