Bulk bullets and bulk sabots are available, and bulk lead bullets are even cheaper than jacketed ones. Look for them at sales events, flea markets or garage sales.
As far as using over powder wads with conicals, it's not a bad idea to try them out but how much they help accuracy and performance requires experimentation.
The conicals with a hollow base that are designed to expand may not benefit from using wads at all, while the flat base conicals just might shoot better.
And there's no hard and fast rule which ones will and which ones won't.
The purpose of the wad is to cushion the conical and to act like a gas check and seal the hot exploding gases from escaping past the bullet.
They can also help to protect the powder from the lube migrating off the bullet and contaminating it.
So yes, conicals should usually be lubed if it has lube grooves, and lube can be put in the hollow base. The barrel can also be lightly pre-lubed by swabbing with a lubed patch before loading a conical or saboted bullet too.
Wads should be experimented with because some conicals just won't shoot as well without them.
Ideally, each conical should be tried with and without a wad, and an over powder card can sometimes be substituted to serve the same purpose at a lower cost.