Sound production for games is not that much different from film or animation. While the game isn't chronological (which poses a bigger challenge to music composers) the sound effects are usually short and played at certain events.
In most of the cases, you don't want to record your sounds outside. A studio environment is preferable where you can align your recording devices perfectly and where you're sure there won't be any background noise. A lot of sounds in films and games are actually faked (mimicked) and not recordings of the "real" object. This is usually done by a Foley artist.
Usually it's cheaper to buy existing sound-effects, as recording your own with decent quality requires good equipment and experience. Creating your own sound-effects can make your game stand out, so if you feel comfortable doing so, go ahead!
As for the different "states" of a sound-effect (eg. echo, etc.): I'd say it depends on your target-platform and the type of game. It's always cheaper (in terms of processing power) to have your assets ready without the need for further processing.
If your game runs on a mobile device, then there's a high probability that you can't do much realtime sound processing. Things look different on a modern desktop PC though. But it also highly depends on the type of game and the use of sound-effects within. If you have very dynamic effects that sound differently in almost every scene, then it's probably better to try to calculate the effects in real-time or pre-process them at loading of the level. But if your game isn't revolving around the sound-effects (eg. sound-effects are an important part of gameplay), most people won't notice the nuances in the sound and you can boil it down to 1-2 pre-fabricated assets.