I would not recommend doubling up filters, because you can affect air flow and the function of your heating/AC. Has this clogging of the filter been repeating for several uses? It could be it is just collecting the dust in your ducts and house. If so have the ducts cleaned by a reliable company. If this is a repeat thing then you might want to have a heating/cooling specialist take a look at your system.
As far as buying the filters, you can get them at Home Depot (3M Filtrete) which is the best or Honeywell brand at most heating/cooling shops. I use the 3M filter - it's more expensive, but lasts longer and works better.