Monarchs in the Classroom, based out of the University of Minnesota is who I've gone through to get ours. Dr. Karen Oberhauser runs Monarchs in the Classroom and she has been very careful not to ship the caterpillars outside of the region where they were collected. A very fun option is to go out in the field with your son and collect them. I did this for the first time this year. I have even taken large groups of kids out looking for them with good success.
Caterpillars give a little clue about where they are - little chewed marks in the leaves.
Now is a good time of year to look for them. Another good clue is seeing monarchs flying around in the area. If they're flying and feeding - they're probably laying eggs. When you find your caterpillar and or eggs, cut the plant so that you're taking five or six leaves home with you. We took the plant and immediately put it into a bottle of water that we brought along with us.