If you are fly fishing on a budget, it doesn't hurt to buy used flies, rods or gear. Go to eBay, yard sales or even pawn shops.
The industry tries to push a lot of gear. Yes, there are folks that buy new gear - and new fly fishing gear can cost an arm and a leg. Even modest rods and reels can set you back a bit. Basic gear can obviously be purchased at Wal-Mart or other discount retailers.
My point is that you don't have to spend a lot of money to have fun with a fly rod. I've seen guys decked out in nothing but Orvis gear from the boots to the hat. And I've seen guys step into the stream with old waders and a can of corn and a baitcasting reel outfish those guys decked out in high dollar garb.
I tie my own flies and I don't spend much on gear because it's not necessary. I will admit that it does pay to eventually buy a mid-price fly rod for good action. When you go out fly fishing a lot like I do, it pays to save money when having to top off the gas tank every weekend.
A few years back, I bought a new pair of new Simms waders for about $125 and that is a steal. Keep your eyes open because you can get good gear at a great price. Just because you don't have high dollar gear, it doesn't mean you have to feel like you are not up to snuff. Never measure your fly fishing worth by trying to keep up with the Jones'. I measure my success by how I enjoy myself. That is done by catching fish. I'm not great and I'm not lousy but I can go out and make myself feel good while casting a mid-price rod with old line, an old leader and self-tied flies.