SLI/ALI insurance from the rental company will probably run you under $200/year, then (it's usually ~$15/day, depending on the location, almost never over $20/day), for a $1m/incident policy. It's highly unlikely you'd find a non-owner's policy (especially with anywhere close to that limit) for anywhere near that cost, especially if you're a newer driver.

So yes, you're almost certainly better off just buying it from the rental company.