Would you recommend buying individual good ones at important sizes?
Yes. But if you are in trade it is worth learning how to sharpen and maintain them properly (it isn't difficult) rather than running off and buying a new piece of cheap crap every time a drill starts to blunt
I guess feel the spade bits to check they're sharp. Does this apply to masonry bits too?
Spade bits can be sharpened, too.
Masonry bits aren't actually sharp, ever. If you understand how masonry drilling works the design of masonry bits makes sense: a wood drill (spade bits and most types of auger bit, etc) works by rotating and scoring (cutting) the fibres at the periphery of the hole using a nicker or spur which is then followed up by a rotating cutting edge which either slices the fibres by chisel action (auger bits, some spade bits) or scraper-like action (flat spade bits such as the Irwin). The bit may be pulled into the workpiece by a centre screw (auger bits, some modified design spade bits) or my only have a plain point (Irwin and other flat spade bits) which guides the drill bit but where the use needs to apply pressure to "drive" the bit into the material - a masonry bit used on a persuasive rotary drill (e.g. an SDS drill) doesn't cut, it removes material using a hammer blow (like a chisel) and rotates only to remove waste material. For that reason it doesn't need to be particularly sharp in order to work, although they do work better if they are correctly ground
Would you recommend getting auger bits with sds fitting so I can use them on drill mode in my sds rather than in my combi drill. Both 18v dewalt drills.
I have rarely had the need to use auger bits on an SDS drill, but for lock mortising I can see the appeal, although I have no real preferences. What I would say is that the range of quality bits in SDS fitting is limited and that they cost a lot more than the equivalent hex end bits
Because of cost I tend to buy auger bits as and when required, although there are a few "standard sizes" that you will also need - probably 12 or 13mm, 16mm, 18 or 19mm, 20mm and 22mm. These sizes are often used in lock fitting, so it's worthwhile (a) having them and (b) keeping them, oiled, in a bit roll and (c) getting yourself an auger bit file small triangular abrasive slip (and learning how to use it) to keep them sharp.
To buy them cheap look on Ebay for the better brands - Bosch, Fisher, Heller, Wurth (all German), Fisch (Austrian), etc. There are other good makes, like Famag, but their prices tend to be in orbit. Trend also do reasonable auger bits as do Makita (but avoid the low cost Makita sets - they are Chinese and crap). You should be paying around £8 to £12 a pop via eBay