Seeing a periodontist and competent tmj specialist is advised.
The reason the fitted guards are so much is a lab tech or the dentist has to spend a long time making sure the guard not only fits your mouth, but also balances how you bite. If your bite gets off too much with a nightguard you can wind up with TMJ problems. Most OTC nightguards are also soft plastic, which encourage more grinding/clenching. A dentist made guard is hard plastic, which does not encourage your jaw to grind on it.
A nightguard is about the cheapest dentist item you can buy, but it protects you from a lot of different things. I look at it as very inexpensive dental insurance.
If you do go with your dentist's, make sure he checks your bite when he delivers it. You should see the marks yourself. You want to see that you have lots of marks on both sides fairly evenly.