With my little boy they kept telling me he'd be on the big side, so I bought 0-3 in most stuff. I had 1 newborn set that I'd bought after my 12 week scan, and 2 newborn sleepsuits that were handed down.
When he was born he was 7lb 6, and everything buried him apart from those 3 items. We had to go shopping the day after we got home from hospital to get a few bits.
You can get sleepsuits and vests so cheaply now in supermarkets, I'd say its definitely worth having a few smaller ones to hand, just in case.