I seem to recall that the last time this subject came up, I also said "any stereo shop or Radio Shack should have one", and got reamed because that wasn't true for the guy's location. In fact, I wasn't able to look up a Radio Shack part number for the thing, couldn't find it.

Something to keep in mind.. The adapter is small and mixed in with the packing material. Maybe you have it in the box but just didn't see it yet.