You can actually find them most everywhere nowadays. I got the VII and VIII figures I have from KB Toystore. Always check KB FIRST! They may not have it, but if they do, it will be WAY cheaper than anywhere else. Anywhere from 3 to 10 bucks cheaper from what I've noticed.

Suncoast has them a lot, also check video game stores (Gamestop, Electronics Boutique, etc). Any anime stores that you may run into, check them. Though they may be a little more expensive, I know the Anime Club store where I live always has all sorts of game figures (including the FF 'hero' gashapon set). I prefer to get all of it off of Ebay to save money, but as you've said that's right out.

If you can hit up places like Chinatown, Little Tokyo, Little Saigon, always do. They have things cheap and with awesome variety. These places are no more dangerous than any other big city, but do keep an eye on your surroundings and watch your wallet. Also, be on your best behavior in the shops. I frequent Chinatown in LA and I've visited the one in San Fransisco, the shopkeepers seem very apprehensive when I enter (I suppose being a tall blonde chick decked out in punk gear doesnt help), but they're nice folks.

Again, try any toystore you find, anywhere. Anime and RPGs are far more popular than they were when I started collecting (about 10 years ago), and it's all far easier to find. You wouldnt believe the lengths we used to have to go to. xD