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If you have an Atwoods near by that would be my suggestion. I've seen them at the one in Gainesville. Don't know if Atwoods has a store around Conroe or not?
Before I found a Rural King about an hour away a dealer near me was selling 20# bags for $15.99. Highway robbery! Also, check out bbqpelletsonline.com for a group buy. Super reasonable.
These pellets aren’t easy to find in my area, but I found a small mom and pop that carries them regularly. $20 for 20lb and $35 for 40lb. Definitely not cheap but picked up a few bags to try them out.
Dick's is going to be your best bet. Once you try some you will see the quality and it will hurt less to buy them... unless you are using them in a pellet smoker then I would burn the cheapest pellet you could get and put in the hopper and ONLY burn the Lumberjack pellets in a smoke tube for great flavor. That will keep the wallet from taking a beating and likely give you the best flavor you could hope for
After you microwave them put 2oz of lemon juice in a glass bowl and nuke for 60 seconds x 2. you may have to add a little water the 2nd time, that will take most of the smell out so the wife wont fuss to much lol