I live outside of a tiny country town in Australia, and local shops literally do not carry many of the sorts of items I need or, yes, want.
I work from home and rarely go into town, so paying twice as much and taking a day out of my life just isn't my bag.
If I can get local and it's not urgent, I will put together a consolidated list and go in some weekend when I have enough to make it worthwhile.
Sure, it probably makes me the devil, but unless I go move to a cabin in the woods and life a self-sustainable lifestyle, I can't realistically avoid supporting some amount of evil just by existing under capitalism.
I try to make good choices where I can, and vote for people who, ideally, could effect real change.