I have already purchased an UNO. Would it be feasible to purchase only the ATmega32u4, rather than purchasing a Leonardo?
If you mean "install an ATmega32u4 in place of the ATmega328P on the Arduino UNO", then no. The 32u4 doesn't come in a 28-pin DIP package so it will not fit in the Arduino UNO socket.
If you mean "build a Leonardo clone using a bare processor" then that is possible. Since it only comes in surface-mount form you won't be able to plug one into a breadboard. You will probably want to get a breakout board for it. Adafruit has one for $19.90 (about $0.10 less than a Leonardo): http://www.adafruit.com/products/296
Sparkfun has one for $19.95: http://www.sparkfun.com/products/11117