Booking throught the net through a hotel agent or direct with the hotel gives you assurance prior to arrival. Some even gets you meeting and transfer from airport. Usually this is the preferred method of tourists and newbies. If you are looking at a pricier hotel, then net bookings gets you a discounted price. Walking in will seldom get you a discount at 5 star hotels.
Since you use the word "cheaper" in your question, pardon me if I guess that you are looking at a budget accomodation of about 500-1200 baht/night. If that is what you want, then my advise is to book 1 night in a guesthouse/hotel and then go room hunting. Prices differs very greatly between guesthouses of similar quality. Some have started offering low season prices whereas some still stick to high season prices. I have booked an a/c room from 11/2-17/2 and 12/4-17/4 near Bangla/Patong at 375 baht nett/night.
If you come to Phuket by air and you take the cheapest transfer of a minibus to patong at 150 baht, then you will have to do a compulsory stop at a travel agency for them to sell their services...rooms,tours,transfers etc. My advise is to check out the road side travel booths in Patong and compare prices and specifications of tours.
These are my personal opinions and pointers and I belong to the budget traveller category but if you do have the means, then just let the people earn what they can from you.
