Hi, not sure where you are, but in the uk I just looked up plastic supplyers in the yellow pages and went to the nearest one.
It comes in 8ft x 4ft sheets from about 1mm thick to about 10mm thick, as far as I know.
In the uk it's also known as PVC foam or foamex. Sign makers who do those vinyl cut out letters also use it to stick their lettering to. I've bought some off cuts once or twice from them, for the thicker stuff that I didn't need a huge sheet of.
I made some fett chest armour from 3mm and it turned out great.
Hope that's some help..
Cheers
Phil