I have a mixed approach: I have a laptop with an RTX3060 (surprisingly good for small models and dev work). There are a few beefy servers I have access to through work/school which I leverage when I need more resources.
If I didn't have access to work/school servers, I would likely go with cloud or build a new desktop for myself. Most of my work has been with time series forecasting and anomaly detection so the models tend to be smaller. If you need bigger models this wouldn't work well for you.