Just to give you some rough numbers...
.40 brass $25/1000
Primers $25/1000
Bullets $90/1000
Powder $15/1000
Total= $155/1000 rounds if you reload. The prices vary depending on how you source the components. It's not hard to find free .40 brass. You also get more than one loading from the brass. Powder can be under $10/1000 if you buy enough of it. Bullets are where the money is. Some coated bullets in bulk can be had for $80-85/1000, maybe cheaper. Zero jhp's will be $125/1000. Aside from the savings in reloading, you can use faster burning/softer feeling powders for your loads. Typically the faster burning, higher pressure powders will feel softer in .40 and may not be found in factory offerings.
A lot depends on your budget and how much you are going to shoot.