It is very unlikely you can find as unusual an ingredient as sago in a regular supermarket. There appear to be relatively few online sources.
If you think your grocery store is exceptional (and large) enough to carry sago (also known as sabudanna), the practical step would be to ask the manager. It will be in the baking aisle, among the flours and thickeners or puddings.
If you are fortunate enough to have an Asian market within driving distance, it will be your best source for finding sago.