I did a new Peter Pan with a ballet company several years ago and we bought, designed, installed, and teched the show in-house. It was more expensive than going with a company like Foy or ZFX, but ultimately it was a much better decision for us. The nature of flying in dance is not just for effect - it is choreographic as well. With a company you bring in, their representative will have the final say on any and all moves that are executed - our choreographer wanted (and needed) ultimate creative control over the flying.
Our technical director was also a certified rigger (had been for years) and had been on national tours that involved flying (JC Superstar, Wicked, etc). We took out extra liability from our insurance company and we were fine. The TD was also on salary at the company (I wouldn't do it if your TD or flight supervisor is an independent contractor) and our stagehands were IATSE, protected not only under IA insurance and the theatre's, but the ballet's insurance as well. Our dancers were also on salary, so if anything happened to them, they would be covered under laibility insurance also. )Interestingly enough, the risks of flight in dance really aren't much different than risks of injury in just regular dance, at least according to the insurance company!)
While the costs of equipment (tracks, rope, cable, harnesses, etc.) ultimately cost more at the outset - then the company owned everything! Because ballets go into a rep, the company was able to perform that show several times (including some tours) without having to go through the rental process and without having to bring someone else in every single time. We could also use flying effects in other ballets without much to-do.
If you have these people and resources at your disposal, you could consider doing it in-house. If you don't, definitely go with a company like Foy or ZFX.