I generally do the traditional strategy of a strong closer, a middle tier option and then a flier or two. In deep leagues with 14-15 teams, I'll sometimes just draft one legitimate closer then take a couple fliers. To me, spending a middle round pick on a closer in a deep league is too expensive. I feel like I'm giving up too much on the hitting side or with my starting pitching. In a deep league, most teams will only have 1-2 legitimate closers anyway.
...Boston papers now and then suffer a sharp flurry of arithmetic on this score; indeed, for Williams to have distributed all his hits so they did nobody else any good would constitute a feat of placement unparalleled in the annals of selfishness. -Updike