Sai is one of the traditional Okinawan weapons. Any karate dojo that also teaches kubudo (Okinawan weapons) will probably teach Sai. Note however, that most dojo's require that you have picked up several karate belts before they let you train with weapons.
As to where to get Sai's, once you find a place that will teach you, they should have a source for getting Sai.
On another note, what is your reason for wanting to learn Sai? While it is a beautiful art that requires a lot of time to master, and is a personal challenge to learn, Sai's are not that usefull for self defense IMHO. If self defense is your goal, I would suggest taking a good practical knife self-defense class.