Cost of ammo for me is not a serious consideration but must admit paying less that $3 a round for WinMag .338 v/s $6.25 a round for Lapua does get my attention. I'll likely use WinMags for most shooting but keep a small supply of Lapau rounds for special occasions. Probably 100 or less.
One last question. Do re-leaders have to have a license or certifications from the BATFE or a license to buy the powder?
I think my biggest problem would be finding a place to shoot a rifle like that out to the ranges it's capable of shooting; I have a 300 win mag and several .308s and 100 yards is the best I can find. I had a 200 yard range but it's out of commission now. very depressing. I'm looking at getting out west where I should have better luck with that.
As far as powder goes, no, you don't need any kind of BATFE license or anything but you had better know what you're doing when you're messing with a cartridge like that or you might end up with a broken rifle or worse. There are a lot of considerations that you have to account for.