An expensive lesson indeed!
If you look at the buy/sell spreads on the FX company boards in airports, I'm always amazed that people actually still use them at all!
If you do a search of 'foreign currency' or similar in FT you'll get thousands of threads that all basically come down to a few key points:
- these days not much cash is needed, so take a little to get you beyond day one
- use your credit card (ideally one with no FX fees)
- withdraw from ATM (again, ideally one without fees)