A local fish mongers is the best place to look, the one near me sells whitebait at £3.25 for a kilo bag. Whitebait from the super market is likely to be in batter or breadcrumbs.
Since you probably wont be using as much as that lance fish from the lfs is just as good but can be a little bit hit and miss on the quality, try to get some that hasnt been in the freezer for too long.