Yes, the shipping is the killer most of the time. Years ago(at least 20--maybe 25) there used to be a place in Denver where I would go and get my batting(where they made pillow forms as well). They had great prices, and I could drive there easily to pick up batting and pillow forms and save on shipping.
But, alas, I can't for the life of me remember the name of the place. I've googled and can't find anyplace in Denver that manufacturers pillow forms or batting. I vaguely remember it was west of I-25 and in an industrialized part of town. I'm not even sure if they're still in business and of course, we have moved since then and I can't find any paperwork with a name or anything.