You're probably going to have a difficult time finding halibut cheeks with a hechsher, since most of the frozen fish is only the most common fish and cuts. You basically have two alternatives:
1) Go to a kosher fish store, if there's one in your area, and get them to cut you some halibut cheeks.
2) Go to a non-kosher fish store or a supermarket with an extensive fish section. Follow the directions of your chosen hashgacha organization when it comes to buying fish from a non-kosher fish store. This often involves steps such as bringing your own cutting board and knife, but your rabbi's opinion may vary.
i happen to work as manger for a kosher fish company in ny. the company is called Ossie's Fish - there is frozen halibut and that usually comes steaked or fillet already but even if you go to a good seafood store- such as ossies fish there halibuts are coming to them from the market without heads. the reason for this is that the cheeks are usualy cut out and ship[ped to californian high end restuarants and then the head is chopped off to its uselessness and extra weight, hence you will not find kosher hakibut cheeks.(maybe in alaska)