I get mine from eBay. There are different colours and grades and they have always arrived alive and well. Postage costs a bit, although less than fish. Check the sellers rating and reviews before buying.
Forget eBay. I did this myself yesterday, go on selling site, shpock, there were loads of local private sellers with shrimp for sale cheap as well. I'll be getting some that way soon. In the post, the packaging is great but it costs must be a factor.