A lot of breeders do next day shipping and they put heat packs in the box with the gecko and most wont ship if its under a certain temp anyway, so you are pretty safe to go online but going to a store works too.
Being from Ohio myself and my weather isn't too different then NY, right now i have geckos being held until weather conditions get better. Most breeders are good about wanting to make sure that the geckos saftey comes first. So in wanting to get a gecko soon is great but right now being below freezing most of the time it's very difficult to try to ship.
This is just my personal observation. There maybe local breeders to you that you may be able to drive to meet. Just to keep that in mind.
I would not recommend buying a gecko at a pet store. Do a search on this website and you will see why. See if you can get a gecko from a local breeder, or have one shipped to you form a reputable breeder. This time of year is a challenge for shipping, but you will have a healthier pet if you go with a breeder instead of a pet store.