It's bad enough that the core series is so expensive, there are even more peripheral books that you can buy! I've got hold of Death:the High Cost of Living, and the Sandman Companion too. Some of the add-ons are actually written by Gaiman, but there seems to be a whole Sandman Library that Vertigo comics do too, written by other writers, including stories about Thessaly and so on. Kind of a library of 'official' fan-fics, I suppose.
I've heard tell that Gaiman wants to release a single volume of all the Sandman stories - now that would be amazing, and would probably break your arms too.
I loved Wanda too! There's some interesting stuff about the character in the Sandman Companion that's worth reading (if you've not already got a copy that is!).