Hit up a Walgreens. They have them in every Walgreens here in Chicago.I really need to try one of these! But there aren't any walmarts in NYC!
It might be hit-or-miss near you. I was in worcester (outside of Boston) a week ago, and went to 3 Walgreens... 2 of them didn't even carry torch lighters of any sort, they only had soft flame bic lighters.