I have seen them at Rodman's. Larger grocery stores with "gourmet" aisle may also have them.
They are pretty easy to make. Get chocolate candy melts from craft store. Melt in microwave or double boiler. Let cool slightly. Dip inflated small water balloons in chocolate. Put on wax paper to set. When completely set, deflate balloons slowly. You can even do different colors. Just let first layer set, dip in second color. Let set before deflating balloons.