Where is the cheapest place to buy them? Do they ever go on sale?

There is a yahoo group called pinsandneedles that offers them at 30 - 35% off. You do have to put in a request to join the group.

I bought mine at www.fabrichut.com excellent prices and customer service

Try jhittlesewing.com. I just bought some there, and thought the prices were resonable. Free shipping for what I bought, and they were quick.