I started my colony from the ones you get from the pet store. Just get 100 large and leave them alone and let them turn to beetles then let them do their thing. There are MANY sources online to get them. The cheapest I have found are on faunaclassifieds. If you lived close, I'd give you a 1000 or so. I even have a couple hundred pupae, but currently I'm not selling any out of state.
Once you get the colony going, they really take off. I started with 15 beetles or so and now I have more mealworms than I know what to do with.