You're best to check the yellow pages, though the best stores are on Sahara, as Albert and Kelly mention, and there is a great store across from U.N.L.V. on the east side of the street, in a strip mall. This may be the same shop that Albert and Kelly had mentioned next to the Shalimar, who knows?
I've bought my best jazz LP's in Lost Wages from a retired DJ, (jazz format station), and no, I won't be sharing his name. I hope you understand why ...