Generally, I would think twice about working for a company that starts off by being cheap. They could save money by arranging an interview by skype - which is basically free. But, they chose to save money by simply not paying the travel expenses. It could be a check in the NO column.
But, I have interviewed for companies that didn't blink about plane fare, hotel, rental car, meals, and even a ticket to a ball game, and the job offer sucked. The lure of lavish gifts sometimes masks deeper problems - as you probably know well.
If you have no other interviews lined up, or the offers aren't coming in, paying your own way might not be such a bad idea. As far as leave goes, it really makes no difference if you go on a Wednesday or a Friday. If it takes you a day to travel each way and a day for the interview, you still need 3 days leave. Taking Thursday, Friday, and Saturday costs you the same 3 leave days as taking Tuesday, Wednesday, and Thursday. You can't check back in from leave until you are physically back at the command, so it makes no difference. Weekends and weekdays all count the same. If you try to scam a few days off by getting your buddy to sign you in while you were still out of town, you could get busted - even at the very end of a good career. This might look bad on a resume.