Yoiks! Those are expensive.
I'll stick to the AM radio.
Due to the ways in which radio signals travel, the AM radio is ok during the day (short range), but at night the signals can travel hundreds of miles (sometimes thousands) due to ionosphereic reflection. Switch to FM (or a weather radio tuned between stations) at night. (You can also see the static on your TV if you use a terrestrial broadcast antenna.) These signals tend to be short range (<100mi) most of the time, but there are occasions when the signals can travel up to ~1500 miles or more. (Tropospheric ducting, for the technically inclined.)
In general, a small hand held device can only detect the presence of lightning. A slightly larger device (ie bigger antenna plus processing and display box, but perhaps it could be made handheld) can also show direction. (IIRC, there was a write-up on how to make one with crossed loop antennas and an oscilloscope in the "Amateur Scientist" column in "Scientific American" magazine many years ago.) It would take a radar to give you a good direction and distance.
And don't forget the old time between the flash and the boom method--5 seconds per mile.
Doug