It's not really open to the public but I've been able to pop to the C9store and pick up large cones of woolly nylon the dance school is across the road from them. It's not really open to the public and the big cones aren't listed on the website but if you contact Emily I'm sure she'll be able to send them in the post and do the transaction over the phone. She's very helpful.
She doesn't have the full range of colours in the big cones but I think it was something like £4 a cone without p&p (may have got that wrong but it was very cheap). I don't use loads of it but I've had no problems whatsoever.