Most prickly pear's are not available at your local grocery store sadly. Often organic grocery stores have it when it is in season (though mine does not)
You can find it at ethnic hispanic grocery stores. I have a bunch of it on our property and Spike loves it. I just cut off a piece, usually a paddle shaped "leaf", use a knife to scrape the tiny spines off, wash it off in the sink, cut into little pieces and feed it to Spike. Really quite easy.