You can buy wads all over the place. The trouble is some places they are expensive..
You can make your own with a 9/16th hollow hole punch and some 100% construction felt. This is the felt that they pack around windows and door jams to keep the wind out. You just pound out as many as you need. Since felt is 100% wool it really does not burn as you might think. Besides, the point is to protect the patch not the wad. You can spray them with moosemilk if you like. I do that.
There are other places to purchase wads. Track of the Wolf sells them, Circle Fly Wad Company, and others.
http://www.rmcsports.com/rmcsports_cfmfiles/product.cfm?msection=1776
Another trick is to dump your powder down the barrel. Tap the stock on your toe to level the powder load. Then with a small spoon dump approx. 20 gr of Corn Meal down the barrel, then seat your roundball. The corn meal will protect the patch and clean the bore on the way out. The worst thing about it is, its a hassel dealing with the corn meal.