Depends. The cheap ones are good if you just want high scales, or want a rainbow pretender (e.g. for crafting), don't want a bless, etc, or you can't find anyone else with the combination of magic paths that you want for your bless when it's cheaper to make it with a ~90 point pretender which costs 10 points to learn another kind of magic, versus a ~200 point one which costs 60-80 points to learn another kind of magic. (I rarely take a great sage because I usually take imprisoned pretenders for all the free points.)
If I want a bless, I look for someone who already has points in the paths I want to use. The more points in them, and the higher their initial dominion, the better, since that reduces how much it costs you to increase them further. The Great Mother and Lord of the Forest are good for N9Ex, for example. I still take those imprisoned for the free points.
There are at least two more ways to go:
1. Awake pretenders, such as dragons or titans, which people use to speed up their initial expansion. The problem with shapeshifters is that they drop their items if they shapeshift into a form that lacks slots for those items, so... I would go with a titan or the like, preferably. Plus then you won't kill all your own troops with your dragon breath.
2. Double or triple blesses for your sacreds. If you're min-maxing, you would try to find the most efficient chassis for buying the paths you need to get to 9, and you'll probably need to take negative scales to get there especially if you're trying to get a triple bless (it's possible, but you usually have to take a lot of negative scales, and imprisoned). My understanding is that you deal with the negative scales by rushing your neighbors who have good scales and just not expanding your dominion that much.