Depends on where you live. Here in NH our grocery stores have a wine department with a pretty good selection and range of quality. What you really want to avoid is the old fashioned "cooking sherry" which is rotgut with salt. I wouldn't waste truly exquisite sherry on gravy -- it's to drink and enjoy.

Yes, the grocery store stuff is gross. Use a good quality Spanish sherry. California produces great wines but so far sherry is not one of them.

Yes, better to go to a liquor/wine store and buy an inexpensive "fino" sherry -- which is the white, dry kind.