Step 1: Acquire a catfish
1. Catch your own. Juglines/trotlines are a good way to catch these bottom-feeders; just make sure you're not fishing in a polluted or heavy-metal laden waterway. Each US state has its own report on this subject.
2. Get one from friends who fish, but usually catch-and-release because they're scared of cleaning fish. Bass fishermen are great for this; my uncle only keeps his fish when I come to visit.
3. Buy a live one. If you have a good Chinatown, farmers' market, or live near a fish farm, this may be easy. It's sad that you're missing out on a nice day at the lake or the river, but at least you have a live fish. This ~2.5lb fish came from the Old Oakland Farmers' Market. I was in line behind a bunch of tiny asian grandmothers waiting to buy live catfish.
4. Buy a dead one. This is a total cop-out, but sometimes the only option. Fishmongers and grocery stores standardly sell fillets, but good ones may sell you whole fish for waaaaay cheaper. Sometimes they're even pre-skinned for you. Note that "basa" is catfish from Thailand forcibly renamed by the US government.
Step 2: Kill it
To pith your catfish, position the pointy part of a big knife directly above its brain and spinal cord, then quickly push down into the brain cavity. This is about as quick and painless as euthanasia gets.