Use a net to catch them, and you can tie a drag device so they don't fly too far, I am assuming you are teaching him to flush/point. Pigeons are not as good as real pheasants, but they will keep your dog training in the off-season.
Doc has a good suggestion about contacting the dog clubs to check out their source for birds. You should also visit feed stores and with the local Fish & Game folks, they will be able to put you on some bird sources.