Try e-bay. It is available at times in short lengths of less than 100 or 50 feet.
Also, for a stepper of that size, they usually run 22 gauge wire. Most motors with the push on connectors and rated up to 4.5 Amps use AWG 22. You will need stranded wire due to the flexibility as solid wire will break after a period of time with CNC Axis movement.
If you can't find any on e-bay, you can buy a 100 ft spool from Digi-Key. I can't remember the price per spool, but it is not overly expensive.
EDIT: Forgot to mention that you DO NOT have to use shielded wire for the steppers if you do not run the motor wiring close to the driver power wires or the breakout board wiring. The stepper motor wiring should be at least 2 inches away from other wiring. However, the connections from the breakout board to the imput of the drivers are best sheilded.