I get the 3M stuff at Menard's. Maybe try NAPA or another place that caters to car repair/autobody work etc.
"Wet" just means keep the paper a little wet. You can use water, windex, or lightweight motor oil (synthetic Mobil 1 is my favorite). The idea of wet-sanding is to keep the paper from clogging up as quickly, and keep the swarf (little bits of steel you're removing) from grinding into the workpiece as you sand.