Actually, it isn't as bad has it once was. Since you can use the merchant houses, go to one of the NPCs (one of them has this function and there is only 4 NPCs there), do a search of scan through the wards listed, find the item your looking for.. click on it.. and you can buy the item right there without having to hunt through retainer NPCs or look for the star.

So really it works /just/ like the Auction House in FFXI and a tad likes wow, because if you know the item your looking for, you can just type its name in and see if anyone is selling it.
and yes, it goes straight to your inventory after your buy it, which is great.

The only thing they can do to make it smoother, which I heard they are doing in 2.0 is merging all the cities into one.