sand, try all those teeny corner grocery stores that carry produce in your neighborhood, esp. the korean run ones. many of them carry thai basil. i've purchased it at the market on 3rd and 30th (something "farms").
Won't help you today, but for future reference, the Greenmarket in Union Square usually has a couple of vendors that sell thai basil; Depends on the day you go though, I think Mondays and Fridays are your best bet.