Not sure about feeder shrimp but Petland sells 'portions' of live blackworms that marine fish love to eat! Just don't overdo it, or they won't want any other food.
For bigger fish I have used earthworms from the bait store... if you cut in half you can get a good amount of yuck out so you don't get your tank all proteiny on the top of the water..
Well I don't know anywhere locally but you can order saltwater feeder shrimp from liveaquaria.com I don't see why you couldn't set up a seperate tank and breed them for feeding purposes.