Hi Kevin,
I think dropshipping through your own site should be the ultimate goal for any dropshipper. Of course the benefits are that you can list a massive stock profile with ZERO listing fees, sell with ZERO selling fees and not be bound by any other website's rules and regulations. Of course the down side to all of that is making sure you have traffic flow!
Unfortunately, it's not as simple as "build it and they will come" You need to work on avenues to draw traffic, so I think the best option is to have a combination of your own well stocked e-store and high flow traffic sites such as eBay that you can draw traffic from.