I recommend buying online - because I have six dragons, I buy bulk bags of 100 locusts a pop - much better value.
I recommend
http://www.livefoods.co.uk/ - they're not a bad price at £20 and nearly always overpack their "bulk" bags, which is great news. (My last bag, I actually got 160 bugs in it!) Their customer service is also very quick and I'm having a job finding a better supplier.
I only order a big bag every month or so, but I have LOTS of different foods in the house to offer the dragons. Older lizards eat less protein and more greens, thankfully!