DrIstvaan: you'll have to set the price EXTREMELY low to sell your product, going even lower than the production cost of the product.
This never happened to me. Usually, you can get away with setting your selling price a bit higher than the production price, even if you sell to the very town your business is in - especially if the town produces the respective good *efficiently*. If your town grows large enough, you'll even be forced to sell to that very town, to avoid happiness issues.
Example: Charlestowne produces Grain, Fish and Potatoes, as well as Salt and Rum efficiently. If you build a bunch of Saltworks and Distilleries, the population will grow and locally produced food won't suffice any more, so your grainfarms, potatofarms and fisher's huts will have to sell a portion of their produce to Charlestown itself, to keep it well supplied. Otherwise, you risk a chain reaction of low happiness => recession => lack of workers for your businesses. The spiral of death. :) Of course, you could wait for the AI traders to build businesses in Charlestown or supply it with convoys, but the AI can be somewhat slow (sometimes *too* slow) to respond. And why let them have your profits? With efficiently produced goods, you'll be able to sell at lower prices than anyone else, which discourages the pesky competition from selling the respective goods on your turf. The richer and bigger the town, the cheaper your production. In one game I was producing grain in Charlestown for 65 gold a barrel, if I remember correctly. This allows you to sell your grain in Charlestown at... hmmm... 75? Maybe 80 if you're greedy. Sure, in terms of profit per barrel sold, it may *seem* a bad deal, when you're used to selling grain at 100 gold/barrel (or more). But selling at minimal prices allows you to outsell the competition, ergo, ALL your produced goods will sell, while theirs will not. This in term means that you'll be able to build as many businesses are necessary to match the consumption of chosen towns - so ALL the goods consumed in those towns will be produced by you. If you build a grain farm and sell grain a 120 gold per barrel, your profit per barrel is very high. But if you sell at 75-80 gold per barrel, you'll have more total profit, even if you sell to the producing town itself - because you'll be able to build *as many* grainfarms as necessary to fill the entire demand of the towns in the area.
The only thing that REALLY bugs one if applying this strategy, is the ridiculous 10-captains limit. The 10-ships per convoy limit is also pretty absurd. I mean, if you come from a game like Patrician III, in which you could stack some 200 ships in a convoy (don't remember how many exactly, maybe it's 256 or something like that) and in which you could look forward to a fleet with hundreds of convoys, this gets very annoying, very fast.
That being said, you are of course right to: You can rake in more profit per barrel if selling to towns that don't produce the given goods. BUT, selling to the very town you produce in is also possible in the above circumstances. Hope that was not to incoherent. :)