Mailing Your Own DM?

Im pretty new to the insurance business and Ive read that a lot of agents still make a good living off of using DM, but its seems as if even the ones that make good money are always battling with how much it cost to buy leads. So has anyone ever tried to do their own DM campaign instead of purchasing it from a lead house, and if so what were the results? Is it hard, or more expensive perhaps ?why is purchasing directly from a mailhouse better? do they have access to secret data that know one else does ? Id love feed back on this thanks.
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