Hmm, I think I see your dilemma. The customers that buy your "widget" do so through ebay, and even though the price is lower at your website... they are not seeing it. I'm guessing you use PayPal, so I would think if they are comfortable with ebay (paypal) then they should feel equally comfortable at your website (paypal). So they MUST just not be going to your website. I forget exactly what ebay's rules are for linking to websites, but if you link back to a tutorial page... or something REALLY HELPFUL to the customer, maybe it will drive them to your site... maybe this info is ONLY available on your site... once there perhaps they can "find" the cheaper price in a non-direct way. Even if they go to your site AFTER the sale and share your lower price with a friend, not sure if that works... based on what the product is.
Here's maybe another approach... just start selling your kits and generating traffic to your site based on those alone. Use all maker resources that are at your disposal like Make, Adafruit, Hackaday and Instructables to bring people in. Then maybe these kits and your ebay product will appeal to the same customers and you can ditch ebay... if not, maybe you just need ebay because it's a different kind of product.
Just don't get stuck with a one-product hit on ebay. Move on to the next project and keep the momentum going