#1 DO check around for local print shop pricing.
-So you've opted to buy digital files instead of having the design company print them? This doesn't mean professional printing is out of the question. Many shops offer very affordable options that may fit your budget. I suggest doing a simple google search for "print shops around me" and call them for quotes.
#2 DON'T use a cheap printer.
-You get what you pay for when it comes to print quality. I highly suggest that you use a decent quality printer. Low quality printers will often not give good coloring and will be inconsistent with their print quality.
#3 DO make sure your file is set up correctly
Ok this part can be tricky, but trust me it is important! I am going to do my best to explain this in layman's terms. If you are printing at home on a home computer on regular 8.5x11" paper your file will not need any special formatting. Just print and trim your stationary as desired. If, however, you are having a professional shop print for you, you will need bleeds. Bleeds are a small border around the image that is cropped off after print. This keeps your images from having white borders and gets you a "printed to the edge" look. You really don't need to know all of the nitty gritty details, just know that you need it and make sure to get the correct files from wherever you are purchasing your stationary. If you contact the maker and they don't know what you're talking about, I would suggest running quickly in the other direction!
#4 DON'T use thin paper
You may be tempted to go with the cheapest option here, but trust me paper MATTERS! Cardstock is your friend, regular copy paper is not. I recommend a good thick cover stock for almost any stationary printing. Programs and menus can at times get away with a 60# stock but anything else I would go with a cover stock that is at least 90#. I enjoy printing invitations on 110# cover stock and if I'm looking for an even more expensive look I love using 130#. Textured stock can create an amazing look but keep in mind that elaborate designs may not look great with the texture of the paper. I recommend printing a sample on your stock to make sure you are happy before printing all of your stationary. Colored stock is another great option but keep in mind that if you have a colored design, printing on any type of color (even cream) can be unpredictable.
#5 DO print samples
My friends, samples are important! Printers are all different. Print shops are all different. Make sure you are happy with the coloring and the stock you are using BEFORE you print tons of copies. I highly suggest taking your file around to a couple local shops and having them all print you a sample (they should do this for free).