Nursery trees are definitely one way to go. I feel that is a better route than the mass produced cuttings in bonsai pots that pass for bonsai at these places. Pines however present a set of problems that deciduous trees usually do not.
Pines have a tendency to shed low branches and once that happens it is difficult , if not impossible, to get them back. With Pines you have to work to thicken the trunk and at the same time retain low branches for the future design of the tree. If you look for one make sure to choose one that has at least a few low branches that still look healthy and are not overly long, good luck on that.
Mugo pines can make good bonsai and believe it or not this is a good time of year to work them. Don't overlook other species, others here are growing Boxwood and I have purchased Zelkova at Lowe's before. Other choices might be Euyonmus, Yew or Japanese Maple.
No matter what species you choose take considerable time to look them all over. Time spent now choosing good stock will repay you many times over in the future and a bad choice will only frustrate you. Always look first to the lower trunk and root flare, this is the hardest part of a tree to correct. After that look for taper, movement and a possible trunk line among the branches. Branches on deciduous material can almost always be regrown so don't worry so much about the foliage on them.