Hey, I just moved to Diabolos. \ o /
The prices on Diabolos were honestly a slap to the face. I think they were more expensive (by three times or so) than my previous two servers, though some items were surprisingly roughly the same price as Balmung and other servers.

Because I had no life (just kidding, I was avoiding the study for finals), I went to every server to cross reference expensive items so my money would go farther. If Diabolos (home world) was basically the same price (even if it was a couple thousand more), I would buy from homeworld to help with the economy. If the items were significantly cheaper, I'd buy through other worlds. I found out in my search that Balmung is definitely not always cheaper. Sometimes Diabolos was the cheapest (but rarely), sometimes Malboro, Brynhildr, Zalera, or Mateus were the cheapest, for select items, etc. etc., but rarely. It really does depend on the item in question.

That being said, I suspect that all the servers' markets will need to adapt in order to thrive. Either Balmung will get more expensive, the other servers will get cheaper, or they'll all meet partway with time. As I'm sure you know, markets tend to fluctuate all the time for better or for worse and this is just a part of that. Start comparing prices to other worlds (even if it's just Balmung) to get a foot in the competition.