Hardware stores rarely carry above 600 grit. But as mention above Pep Boys will carry it, so will any auto supply shop for finishing car paints, etc.
wam03, In your link I see where he says he uses 600 grit then finishes with 2000, that makes much more sense than 1000 to 2000 since you will be sanding for VERY LONG time with grits so high!!!!!! In fact if you are trying to put a convex on instead of restorring one ,you should start with much lower grit, 220 or even lower. For finishing- 2000 may be unnecessary esp. on "user knife" I think 1000 is suficient, even 800. Higher grit = more effort. Try and see what you like.
One more thing- your article link, it says putting on a convex edge can scar your blade finish, this is true because you will "trail up "the face of the blade as you draw it across the sandpaper. You can minimize this by placing heavy duty tape on your blade above the edge area you want to make convex, usualy 1cm is good, it depends on the edge angle you begin with. Again, try and see what works for you. Good luck!
Martin