This is essentially what I've been doing. Spotify is usually decent enough when it comes to recommending new artists based on what I'm listening. When I find an artist whose work I plan on listening on a regular basis, I'll jump to Bandcamp or some other site where I can buy the song or album I'm interested in.

Sadly, the list of such sites seems to be shrinking with every passing year, and I've found many artists I'd like to support by buying their stuff, but they only offer streaming options. I've noticed it happens more frequently with artists that have been scooped up by a major label or one of its subsidiaries, unsurprisingly.