1. If you want to try your hand at catching them, get a large fish net -- put a long handle on it as well as a bright flashlight and go to "overpasses" at night. Shine the light on them, put your net up and "flush" them out of their roosting places. It can be a lot of work, and fun at the same time. Grain farms will usually have some hanging around as well and the farmers are usually happy to get rid of them.
2. Get a pigeon trap - this is successful if you find the right places to trap them.
3. Find some people who raise "racing pigeons". They usually cull their birds a few times a year and will sell them to you very cheap.
4. Join a Retriever Club. You can either find out where the dog club buys them or there are often birds left over at the end of Training Days or Hunt Tests. The clubs will usually sell them at cost + 50 cents more.
5. Once you get enough, you can build a "loft" and raise your own. Below is a pic of my Bird Pen. I raise my own ducks and pigeons. Sometimes I will raise Chukars as well.