Escargot can be purchased cleaned, and canned (we sell them here at Gourmetsleuth.com). Or, look for them in the gourmet section of well stocked grocery stores. To use these you just need to rinse them. Prepare your sauce, stuff the escargot in the shells and bake.
Sometimes you can find the escargot, prepared with the sauce, frozen. All you do is put them in the little escargot dish and bake. These are very convenient. Again, look for these in gourmet specialty stores. You may find them online as well but requires overnight shipping.