Indeed, it is better to get flax seed oil direct from the source and that is with the use of freshly milled flax seed. Of course you can grind the kernels and refrigerate the granules to prevent its rancidity. If you want you can even buy the cold-milled types so you won't have to bother grinding the kernels. What's good about milled flax seed is that it not only contains prime Omega 3 nutrients but also dietary fibers that is found on the husk. Now dietary fibers are not available with flax seed oil.
Below is an interesting post on flax seed.
http://www.herbalsupplementshealth.com/2008/04/flax-seed-and-b.html