I wear size 5 and have been able to find them in *some* styles at most places (Macy's, Nordstrom's, DSW, Claire's, other discount shoe places). The problem is, as I've been told by a couple sales clerks, if stores order/receive any size 5s at all, they only get one. And they tend to sell quickly. One sales clerk at Claire's suggested I come in on Tuesdays because that was the day new shipments came in each week (check with your local store for their shipment day).
Have you tried things like inserts -- pads that fit under the ball of your foot? There are also ones you can put inside the heel on closed heel pumps. I've used both kinds in some pumps that I could only find in a size too big, but really liked and got a good price on. Works for some styles, but not all.
I've had good luck around here (Los Angeles area) at the little Mexican-run shoe stores/zapaterias. They seemed to have most every shoe in small sizes and for very cheap (probably not real leather, but the couple pairs I've bought so far have held up well).
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