The grocery store relies on the mystique of the thing. The people making those expensive jars probably also seed articles online about it being extremely expensive. Then when the average person goes to the store they look at it and aren't shocked by the ridiculous price because somewhere at the back of their mind they will have read it is worth more than gold. lol. Meanwhile, anyone in the know is buying it by the wheel for quite reasonable amounts, and likely better purity.
Grinding with sugar is definitely the way to go. I generally buy a big wheel of Iranian Saffron on eBay or a Persian shop, then grind it all up in a mortar and pestle with some sugar and store it in a spice jar in a dark cupboard. Then when you need it you don't need to be faffing about. If you want to be fancy, save a few whole strands that you can add to rice for decoration, but using whole stamens is really not necessary.