I know these are internet sources, but Micro Fasteners may have them and I don't remember their shipping costs being too outrageous a year or so ago? Another one would be McMaster Carr, don't know about their shipping rates? Also Ace hardware has some small screws.
As for MTH and their $9.50 shipping minimum, Lionel has the same policy. I ordered some tiny springs for 25 or 50 cents each from them a while back, it was just like your screws, $9 or $10 for shipping, $1 or $2 for the parts.