We were given bucketloads of hand-me-downs in 000's and 00's, DD was 8lb1oz born so she fit quite well into them (it was also the middle of winter so having clothes that little bit baggy helped insulate too, there was room for a singlet underneath etc). A couple of people gave us 0000's and they still have the tags on, she was just too big for them (very long and very fat bub, considering the four other bubs in hospital with us at the time were between 6lb and just under 8lb, she was the big fatty of the group lol ).
It's hard to know how big your bub will be, but I personally am erring on the side of caution with bub-to-be and am sticking with nothing smaller than 000, if she ends up being tiny and needs smaller clothes I'll just send DH and mum out to grab a few bits and pieces - it really doesn't matter much if their clothes are too big, you get heaps of use out of them, and it's a waste of money if they only fit a size for a week or two before getting too big for it.
I too was told that Bonds gear runs a bit small in the sizes, but then their stuff is pretty stretchy too so maybe that makes up for it? I never really noticed a difference, the main brands I put DD in were Bonds and Dymples.
And I didn't realise until she was a few months old that nobody else dresses their babies in those long-john like suits all day, every day - my friends were all dressing their 4-day-old babies in miniature jeans and polo shirts and frilly dresses for outings, meanwhile I was just taking DD out and about in her 'pyjamas' because I figured there was no point in buying fancy little clothes she was just going to grow out of soon!!