That's what I did, went to the local Ontario police station for the finger prints, but mine were rejected by the FBI because of "low print quality".
The gal at the local police station said they (normally) do them all electronically, so she had to pull out the old ink equipment to do my fingerprints. When I looked at the prints they looked fine to me. But obviously I'm no expert.
The best way is to get the set of FP in the Police Station because the police officers who take the FP are trained to do so. I think it would minimize problem such as unreadable FP when it is checked by FBI. Also, I would suggest get two sets and apply for two checking by the FBI. That way if one is not good, you have the other one as a back up. Remember it takes 8-13 weeks to get the result sent back to you I am not sure if you have to pay the fee double for the FBI, but that was what I did. Sent two set of FP and two payments of $18 (total $36). The fee is not expensive, here in Dallas TX, it only costs me $5 per set at the local police station.