Yarn and Pillow Question

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I'm just starting out with knitting and just learned how to pearl, which for me wasn't easy. Anyway, since I can't afford to get yarn from online, unless it's cheap and affordable, I go to Wal-Mart and get the only type they carry(Red Heart: Super Saver). I was wondering what are some great sites for affordable yarn so someone on a budget?

Since I asked my yarn question now I'm gonna ask my question about the comfort pillow I'm going to make. I fear I don't have enough of the Earth and Sky yarn to make the whole project, so I got a multi-colored red yarn just to mix it up bit. Here's my question. When I run out of the Earth and Sky yarn, how do I continue with the other yarn?

I hope this hasn't been asked before because I looked.

Thank you in advance.