Beardies are great pets, just make sure you let him rest in his new enclosure for a little bit. I was going through this same debate. I decided to listen to another member on another forum and purchase mine through a breeder in Arizona. I got my Dragon the next day and he came fine, he also brought a girl friend. Needless to say, I was very happy to receive two Bearded Dragons. They are still a bit timid, but are starting to really pick up on eating. I have had them for about a month or so.
If you are curious as to what lighting you should use for the enclosure I would get a Zoo Med Repti-SUN fluorescent tube. Do not purchase the compact fluorescent bulb as it is known to make Bearded Dragons sick. (It poisons them with the UVB, it is also very bright and can damage their vision)
Since you purchased an adult bearded dragon, you should not have to spend an arm and a leg on protein. The dragon should be consuming about 80% greens and 20% protein. You can feed them a variety of insects such as crickets, super worms, dubia roaches, silkworms, etc.
The temperature requirement for an adult bearded dragon should be about 90-95 degrees farenheit. You can achieve these temperatures with a 65-75W basking light.
Enjoy your new beardie, get some pictures up of this guy.