Shipping on hornworms is about the same year round, winter maybe a few $ more for heat packs... But if your area is really cold it may not be a good time to ship them.
I've not bred hornworms, it can be done but I thinm requires quite a bit of space and patience. (It's been a while since I looked into it but here is a guide - it's very similar to what I do with my silkworms except the dirt) I'm not sure if there are safe leaves you can feed them so you might still be stuck buying Chow. Maybe some day I'll get into it but it seems like a lot of work. I think there are recipes for chow, but some of the ingredients are expencive anyway.
I do breed silkworms, and recomend it for folks with the patience. They are low maintnence but mine have been slow to get big - probably from low temperatures. Depending on what time of year they lay the eggs they will hatch in a few days or they go dormant and you can keep them in the fridge and hatch a few at a time. If you buy the chow powdered it's a little cheaper but still kind of expensive. If you have a mulberry tree, in the spring/summer you wouldn't need to buy chow.