No, it's not silly! And no, KP yarns aren't available at retail stores.
They do have their own brick and mortar store somewhere, I think, but just the one as far as I know.
My 2 cents re the interchangeables: I suggest getting a whole set. You'll end up saving a lot of money in the long run, plus the Options are simply divine to knit with! (And none of us are very patient when it comes to knitty orders by mail!
) You'll qualify for free shipping, and for cheap you can pay 'extra' for 3-day delivery. That's not too bad!