From what I understand, once you've converted to pkg you should avoid pkg_* like the plague. That includes scripts that may have pkg_* hidden in them.
You can install from a local package repository, as well as over FTP, HTTP, and HTTPS. You can populate your own local repository with make package in a ports tree, or with your favorite tool like portmaster. I've heard good things about poudriere, but haven't tried it. I never got tinderbox to work out for me
Unless your machine is dog slow, or you are building something that requires bloat, err, a large number of large libraries like GNU-ware, Java, or X, building from source is pretty fast.
Even when looking at what has been pre-built, I often find that ports that I need aren't there, or the default configuration options aren't what I need.