Visit the "Seasonal" or "Holiday" section of your favorite music store. Compilations of holiday tunes, both contemporary and vintage, can usually be found here.
Look at department store checkout stations as the holiday season approaches. Christmas CDs are usually placed here to entice impulse buyers, and they tend to be inexpensive -- about $4 to $5 apiece as of 2011. Even grocery chains sometimes stock '40s holiday compilations, so be sure to keep your eyes open.
Check out the music section of your local bookseller. Most large chain bookstores have a vast selection of music in addition to their inventory of books and magazines. Depending on how they organize their CDs, look for signs which read "Holiday" or "Classic."
Search for a particular compilation CD, or a specific holiday release from your favorite '40s singer, on the Internet. Online merchant sites like Amazon, CD Universe and eBay offer many different seasonal releases to choose from. Rare and out-of-print CDs can also be found online.