or can i buy it
You certainly can buy it at most hobby or art shops. Or on line of course. In principle you can dig up your own assuming you live in a clay area rather then a sandy area. IF you dig it up. Then you will most likely need to wash it in a lot of water in a container.Allow the water to evaporate until your left with a very sloppy muddy mes. In the art world they dig out handfuls of this and puddle it on a big plaster slab to absorb the rest of the water - your left with a plastic malleable material - clay - the clay is most likely t be red - terracotta - White clay can be found in some parts of the world.
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A lot really depends on what you want to do with it - Something big or small things? If small than you might be better off with one of the artificial clays like sculpty which you can harden in a domestic oven.