You've discovered one of the biggest challenges to cooking with pellet rigs. I also struggle to find good, affordable pellets without paying through the nose for shipping costs. If you can order pellets with free shipping from
Amazon, that's a good place to start. Both Lumberjack and CookinPellets can be ordered on
Amazon, but unless you catch them on sale, you're usually still paying a dollar or more per pound.
If you have the storage space to store large quantities, something to consider is a bulk order...much cheaper per pound, including the shipping, but for most brands I think you have to order at least a half ton at a time. If I had the room to store them, I'd order Lumberjack pellets in bulk. Or, if you have any other pellet users near you, you might consider going together on a bulk buy.
You might also check your nearest Academy Sports and Outdoors...mine carries a brand called B&B, which is actually re-branded BBQ'rs Delight. I can buy these in 20 lb. bags, 3 flavors (hickory, mesquite, apple) for around .50 per lb.
Also, I'm not sure how close you are to either Austin or Houston, but I believe there are CookinPellets dealers in those cities...so you might check that out.
If you want further reading on this subject, check out this thread over in the Pellet Smokers Group section:
http://www.smokingmeatforums.com/t/140632/affordable-cooking-pellets
Good luck, and please share with us if you find a good deal.
Red