Depending on where you're staying in W there are some very good grocery stores....I'm a bit of a "foodie" and I like the meat and seafood at Nesters (same company) 2.5KM north of the Village on Highway 99. Excellent seafood and very good quality beef. I've cross-shopped the Nesters in Squish against the Whistler Nesters, while the Squish store has more variety, I prefer the Whistler store as I think they carry more speciality / higher quality items.
There is also a great grocery store in the Creekside development as well as the classic Whistler grocery in the Village. Both of the these stores are very busy after the ski day is over, the Village store in particular. It is a zoo at 5PM.
In addition there is a (very ordinary) IGA in Marketplace and a smaller grocery at Blackcomb near the Chateau.
I suspect buying food in the city will be less money.