Here's a store in Ft Walton (between Destin and Pensacola)...right on Hwy 98 across from the Indian Temple Mounds. It used to be called the Yarn Garden. It's under new ownership. I haven't been since last summer, but it was a cute little store.
I don't know about Pensacola. They've GOT to have some stores. They're much bigger than Destin. Try googling "yarn stores in Pensacola, FL."