I've been doing a lot of tinkering off and on with pedals and amps for guitar for a couple of friends. I've got an old 465B scope and a multimeter and not a lot of money, so I went the software route. It helps that I've got a good soundcard (M-Audio Delta 66) left over from when I did audio digitization work. If you don't have a 24bit 96kHz soundcard then that definitely adds to the cost in the long run.
TrueRTA -
http://www.trueaudio.com/rta_abt1.htmFree to play with, up to $99 for the high resolution version. It's got a generator built in with a simple sweep, lots of options like zeroing and averaging, and copious note taking and saving capabilities. It's designed more to displaying in real time.
Rightmark Audio Analyzer -
http://audio.rightmark.org/manifest.shtmlSeveral free versions and a Pro version for $120 that adds ASIO and a bunch of options. A little more friendly to use than TrueRTA for documentation (html out). It's not intended for real time work, but does an excellent job of testing response and distortion.
With these tools I've got far more information available to me than I'd ever really need to do all but the most insanely precise audio work. I'm not sure about the Rigol itself, but even if it has methods like this beat on resolution I'd think it'd be lacking in the ease of use department. Programs like those above will cheerfully generate reports that do all the math for you.
I know it seems like a bit of a step backward, but it might actually give better results. A scope like the pico has heaps more bandwith than you'd need for audio work but the dynamic range is only something like 70dB in the specs. According to Rightmark my soundcard has right about 100dB of dynamic range, and I'm 1.5dB down at 40kHz. This also means I can (sort of) do THD measurements on the crappy amps I make, as they're all likely to be less than my soundcard (0.0028% THD+N).
Of course, you're still chained to your computer. Changing that is always expensive.
Hope that helps.