Harry, being a (relatively) recent newcomer to the magic world, probably still sees magic like most muggles would; as a easy way to do something that you could do for yourself. Even wizards realized that this was the case. I don't have my books in front of me, but there was a scene where Mrs. Weasley was punishing Ron with peeling potatoes and expressly forbade using magic.

It wasn't that using magic would be improper. Harry just felt that it would be lazy to do so and that it wouldn't give due respect to Dobby, who had saved him on multiple occasions.