We probably haven't found them yet. Just because they haven't been unearthed yet doesn't mean they don't exist. Here's a link to a primitive snake with well defined hip bones..
Here
Some snakes still have remains of a pelvis/legs in the form of vestigial bones.. This is also true for whales (vestigial leg bones)
There are MANY transitional fossils out there, you just have to do some research, open your mind, and look
Edit: I am also on the egg boat.