Does anyone know any local shops where I can buy plaster of paris bandage?

I have never heard of that, but perhaps a Chemist/Pharmacy could assist.

it seems cheapish on Ebay and with free p&p?
http://www.ebay.co.uk/itm/ModRoc-Pl..._DefaultDomain_3&hash=item5192186019

About 30 years ago that's where you could buy it from. As it`s not a fast seller and the plaster goes "Off" most Hobby shops wont sell it. Best place is as Rocks says, Ebay.
Plaster on a bandage, used for modelling

Modroc is the generic name for Plaster of Paris modelling bandage.

This is the same material used in the medical trade use it for setting bones. Perfect for the professional artist and beginners alike - great for kids looking to make some 3D models too. Great for modelling scenery for railways models such as tunnels and landscapes and war games
Easy to use, you simply soak in warm water and shape -

I was going to get some for plaster of paris for my grandchildren to play with, making models from moulds --but then I saw this , so I think Ill wait till theyre a lot older .http://news.bbc.co.uk/1/hi/england/lincolnshire/8303246.stm

Well, if she done as she was told and not left her hands in for 10 minutes it would not of happened.

I can remember trying to plaster cast my hand when I was in school to get out of a maths test, by saying I had a broken hand. lol

Thanks guys.