We've been interviewing quite a bit recently, and I have to say, we're learning a few lessons.
The main one is that hiring senior people is hard, especially if you are too small to have someone dedicated to that task alone. If you are prepared to be fussy (which we are, and you obviously should be if you don't want to employ idiots) then hiring can take up a lot of your time.
Not only does it take up a lot of your time, it also just takes a long time, period. We have some roles that we just can't find the right person to fill. It sounds like stating the obvious, but don't assume that you can fill a role in a given amount of time, and don't put yourself in a position where you can't deliver something that you've promised because you don't actually have the people in place to do it!
Of course, not only does not having the people in place cause problems, you also lose more time because the people who will be working with the people you haven't hired yet (are you still with me?) are probably intimately involved in the interviewing process - hence even they aren't working on the project that is already suffering from not having the staff you are trying to hire!
Time, of course, is also money in this business. There may be a temptation to avoid expensive agencies. Whilst I certainly wouldn't say that agencies will solve all your problems (they haven't solved all of ours yet), it is certainly worth bearing in mind the cost to your existing staff when you do your sums. If an agency does the weeding out for you, then your staff can get on with their day jobs.
Agencies do have an annoying tendancy to put people forward who aren't really appropriate, so you obviously have to watch for that, but on the other hand they are capable of reaching senior people who will probably never need to get as far as reading an advert. It's definitely worth weighing up the pros and cons.
Finally, you should definitely do as much sanity-check screening as you can. We were recently advised to do a quick phone interview before getting people anywhere the office, and it's definitely good advice. How many hours do you want to spend interviewing people who turn out not to have a desire to work in your industry / knowledge of what your company does / permission to work in your country / clue why they are there...