We hit Costco and Sam's Club once a month with a list and get certain things at each that we use a lot, in large quantities (have a big freezer and pantry).
Then when the weekly ads come out we go to Fred Meyer, Safeway, and/or QFC and buy only items on sale that we normally use. The only time we go to those other than for sale items is when running out of something like bread or milk and needing it in a hurry.
Some items we use a lot of like the tea my wife prefers we wait and stock up at Walmart. the tea is $5.99/box at Safeway, $2.39 at Walmart. Trouble is we have to go to Auburn so a lot of gas, making it bimonthly or so. We still save enough on that and other items to be worth it. Another is the Uncle Ben's Microwave rice. Safeway $3.99, Walmart under $2. We'll get a dozen.