One of the great things about this modern digital age is that it's easier than ever to import music from areas outside the US. Sometimes it's really easy because the music shows up on the iTunes store (a good example of this is The Master Saga), but often I'm not so lucky.
Thank goodness they still make CDs in Japan. Actually, very little official Japanese Pokemon music is available on the Japanese iTunes store (though there is an expanded selection of English Pokemon music there-but that's a topic for another technical journal), so I have to import CDs to use here. I import most of my music from CDJapan (here's the latest Pokemon CD you can find there). The prices are good and EMS shipping generally gets the discs here within a few days (though annoyingly I have to pick them up at the post office since EMS requires a signature and I'm usually not home when they come).
Once the CD arrives, there's actually a bit more processing needed to get the music ready for the station. The metadata is generally in Japanese, so I have to translate that into English. Since I don't really know the language myself, I have to find outside resources to get the track names. In years past I would use an online Japanese-to-English translator to get the titles, but nowadays I generally use Bulbapedia or VGMdb to get the information. After that, I go through the standard ripping, leveling, and trimming process to put the music on the station.
For everywhere outside of Japan, most of my music comes from auctions on eBay. Thanks to the wonders of PayPal, I can buy music from virtually anywhere and have it shipped to my home. In contrast to CDJapan, however, shipping times vary considerably (there have been times I've waited weeks for music to be delivered), and of course there are no guarantees about selection.