Thanks for the question! There is actually no simple answer to your question. Local beaches are often contaminated with sewage, run off, various parasites, organisms, and etc. The water chemistry in your neck of the ocean could also vary slightly from the chemistry that is preferred by the animals that you are keeping. So collecting your own sea water can be dangerous and counterproductive.
Many people do, however, use natural sea water (NSW) for all of their water changes. Many local fish stores have access to filtered, UV sterilized, and quality controlled sources of NSW. This is usually a very cost effective and convenient source of water for smaller tanks. With larger tanks, water changes in this fashion become cumbersome and inconvenient.
If you live in an area with pristine salt water, and you are confident in its quality, you may be able to use your local beach’s salt water. I’ve known many people from Hawaii, Florida, and even along the coast of California (Scripps and Catalina) to use salt water locally. Keep in mind that the quality will change depending on the weather, season, tides, and annual planktonic migrations.
What ever you choose to do, be careful, and mind how your tank reacts to changes in your regiment.