KRS,
If you're lookin' on the cheap, you might check a rock quarry if there's one near you. Gravel the size you need should be pretty common and most of the quarrys near me will let you shovel up your own and take it home quite inexpensively.
I would figure a way to wash it pretty thoroughly, if that's the route you take....get ALL the dust off it before it goes in your filter.
I debated a long time about using it in my filter and ultimately, I did not. After seven or so years I have been fine with just sand but I think I would like do the gravel if I ever change the sand. My point is I don't think it's mandatory if you have a hard time finding what you need.