I have bought them at Lowes Foods and Food Lion stores. Another place is a "deer" butcher or processor who cuts up deer for hunters. You can get lots of brains there and then freeze them. Also, horse/cowboy type stores can order ??sulfanated or ??unsulfanated neatsfoot oil...cann't remember which one blends with water, but the one that does is what you want. The oil in brains blends with water and that is what you want. As mentioned egg whites will work. Last but not least, look at Van Dykes Taxidermy website and you can order tanning oils....
Good Luck and remember you must get the grain off the hide for brain/oil tanning