You don't have to send all the supplies at once though (you shouldn't actually). You can send many small missions, each providing some parts of a Mars base before sending any humans. See for example the Mars Direct plan by Zubrin: https://en.wikipedia.org/wiki/Mars_Direct
But the presence of water on the Moon is more limited than the presence of CO2 and H2O on Mars. That could be significant for self-sufficiency. Especially if we could find a way to make plastics from CO2 and H2O in a reasonably small mobile device. Just grow your colony out of the stuff you suck out for the atmosphere...
Back on-topic, the discovery of water on the moon makes this more achievable there; otherwise Mars's resources might have actually meant less resources were required.