I have been in my current job for 3 years and feel I have changed position as often as feasible within one firm.  I feel a sense of loyalty as they did give me first job and have developed my skills endlessly, but I am ready to move on.  Do I speak to my manager, see if they can further my position here first or maybe just apply elsewhere?

I think its good to speak to your manager about career development and see where they think your going, and also to think about what you would like to do long term.  If there not the same or you cant see the proggression coming that you would like then maybe you should look somewhere else.  Theres no harm in looking!

I would advise looking what is out there but not making any hasty decisions.  Rushing into something can often be a fool's game.