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If you want to add shells, inverts, and other stuff to your show tank, you can start a simple quarantine tank and try out all your stuff in there for a few weeks first.
I would stick with the synthetic salt mixes. MJ is right, you never know what you might be introducing into your tank. The Conscientious Marine Aquarist book has an interesting section on this debate.
Not to mention that some places (depending on the city/country) dump waste into the waters right off the coast. Sick, I know. I wouldn't take anything from local waters, unless you QT for a looooong time. Just my opinion.