Destin Yarn Shop, mentioned above, would be the closest (and best) source for yarns in our area. BTW, Walmart has cut their yarns greatly about a year ago, and they pretty much carry only crappola now. If the Destin Yarn Shop doesn't work for you, the next best source would be Michael's located in Destin, south of Destin Commons. (you can google it for mapping). As Walmart diminished its yarn inventory, Michael's increased their inventory of yarns. You won't find the premium, single-spun boutique yarns, but you will find an ample supply of various textures, sizes and colors.
If those two don't work, Hobby Lobby located in Panama City (caution: you don't want to drive there during spring break as Panama City Beach traffic is aweful during spring break and it will take you an hour to gett there.) In Destin, there is an Old Time Pottery, located past Destin Commons, which may have some yarns. It has been a long time since I've been there, and I cannot recall ever buying yarn there, but it may be an option to the others mentioned.