WalMart carries them as do most feed store, just make sure to get pine and not cedar as it's toxic to chickens.
Feed stores, pet stores, grocery stores, saw mills, wood shops.... shavings are everywhere. Any place with an animal section will have shavings and places that work with wood will often have sawdust but while cheap it's not as good because of the high dust level. Feed stores tend to have the cheapest shavings. Ordering shavings online is insanely expensive. The shipping by itself is more than it costs to get a bag locally.