Find them in stores. Usually new soundtracks can be found at places such as Target, Best Buy or Borders. All of these national chains and the like have extensive collections of new music. Obviously the benefit about these stores is that you can get your soundtrack the same day instead of waiting for it in the mail if purchasing online. If you are having trouble finding a new soundtrack at a store, an employee can help you find a different store that might have it in stock.
Find the soundtrack online. If you are looking for an older soundtrack, websites such as eBay, Amazon and Overstock likely will have them. Searching on these sites is easy--put in the soundtrack's name and press search--and the prices are extremely reasonable. The prices, in fact, are generally better than in stores. The only problem is that you will have to wait for the soundtrack to come in the mail. If you get first-class shipping, then the soundtrack probably will end up costing more than purchasing in a store.
Order the soundtrack on iTunes. This site has nearly every soundtrack that has been made. It's convenient because you do not have to leave your house to get the music, and you get it immediately. But you obviously need the right kind of player (iPod) to hear this music and have to download iTunes. In addition, iTunes can be a bit pricey as you are paying for the convenience.