localmonero.co has a good reputation. The reason why it may be a bad idea to send straight to the market is because the exchange might be looking over your shoulder and recoginse the destination address as belonging to a market.
So the way to do it is to use your own wallet in between. No need to create a new wallet each time.
local Monero is good i have decent experience with it but it's not always available or cheap buying bitcoin and changing it to monero would be best in my opinion although it might not be worth the transaction fees if you're only spending small amounts. NEVER SEND STRAIGHT TO A MARKET just so you know
So the way to do it is to use your own wallet in between. No need to create a new wallet each time.