Convenience OR Cost

This has been the question on my mind lately when I go grocery shopping.  Where I live I have two stores that are both about 2 minutes away.  If I turn left I end up at TOPS grocery store, if I turn right I end up at Wegman's.  Now both are fine stores, but both of them are expensive!  When I lived in Texas we had HEB and to me that is the best grocery store anywhere, you don't need a special card, there stuff is always on sale.  Here in New York it's another story.  If I want to get my groceries at a cheap price, then Wal-Mart is the answer.  For the record, I hate despise Wal-Mart, but love their selection and prices.
So here is my dilemma.  Do I shop where it is convenient or do I shop where I know I will pay less?
About two weeks ago I talked my husband into taking the whole family to Wal-Mart and to get groceries.  He relented and we drove the 25 minutes to Wal-Mart, spent about 30 minutes getting groceries, and then he headed to the car with three of the kids while I got in line.  He timed me, and it was not pretty.  Every five minutes I got a text- what's taking so long?  I finally made it out- 35 minutes later, we still had to drive 25 minutes home.  Hubby was whining about the groceries melting, kids where whining because it took so long, you get the picture.  I got home and unloaded groceries and found that the ice cream sandwiches and the bananas where not in the bags- I was furious.   And hubby said- I told you so!  Why do you drive all the way out there to shop, when you have two stores minutes from the house?
Because I am cheap!  It kills me when I know how much something costs at one store and another store has a huge mark up on it. 
So I wonder is Convenience better than Cost?  What do think?