That works too as long as you drill into the studs. Just make sure the safe is set up to accommodate that, as not all of them are. Bottom line, if its a small safe and not mounted to anything, someone can just walk away with it which defeats the point of having a safe.
To your original question, we bought ours at Costco, but I'd also give
amazon a look so long as you can get free shipping (they can be heavy!)