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Yes, the links should come from your own website. If you have a powerful site, creating sitewide links to several logical category pages within your product pages can be adequate. If your site is new or not very strong yet then it may be best to grow the number of product pages in steps as your site is able to get them in the index and hold them in the index.  A weak site will probably not be able to get 5,000,000 pages indexed.  If your site is not powerful, attempting to do it usually results in a ranking decline on the original part of the site.