There are web stores that sell beneficial insects, (use google), but I view it as a waste of money.

You would do better, in my opinion, to focus on attracting beneficial insects.

In the natural order of things, under ideal conditions a pest moves in to your garden, it's population increases and this gets noticed by the insects that prey upon the pest so they move in and their population increases which controls the pest.

For us gardeners it works out better if we have the beneficials around before the pests arrive so they never get their population started.

Planting a variety of things is the best way to do this. Particular attention should be paid to planting things that produce a lot of pollen such as flowers. Many of the benficial insects will eat pollen when their food population is low.

Of the beneficial insects ladybugs are probably the most important. Ground beetles, lightning bugs, mantids, and parasitic wasps are also desirable.

If your yard is desirable habitat for these they will be there. If your yard isn't desirable for them they won't be there and buying them is pointless as they will just move out.

The one possible exception would be if you notice a particular pest that is out of control. If so using beneficials isn't going to help that year because by the time you buy them and they hatch the damage is done. But if you know you have a pest that strikes every year then buying a beneficial that kills it can make sense as it will have a ready food source and thus be more likely to stick around.