You can find it at the craft store or the health food store. At the craft store it's in the cake decorating aisle and at the health food store it will be near the essential oils and the supplies for making your own lotions. If you buy it at the health food store, make sure it says USP on it.
First, welcome to CC.
By Googling, I get the Wikipedia definition as this:
Foods industry
In foods and beverages, glycerol serves as a humectant, solvent and sweetener, and may help preserve foods. It is also used as filler in commercially prepared low-fat foods (e.g., cookies), and as a thickening agent in liqueurs. Glycerol and water are used to preserve certain types of leaves. As a sugar substitute, it has approximately 27 calories per teaspoon and is 60 percent as sweet as sucrose. Although it has about the same food energy as table sugar, it does not raise blood sugar levels, nor does it feed the bacteria that form plaques and cause dental cavities. As a food additive, glycerol is labeled as E number E422.
Glycerol is also used to manufacture mono- and di-glycerides for use as emulsifiers, as well as polyglycerol esters going into shortenings and margarine.
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You can buy food grade glycerin in the pharmacy department of your local Walmart.
You will tend to see it called for in the making of any of number of things in the cake decorating world, fondant being one of them.
Some marzipan uses just a tiny bit to keep it soft and chewy.
Hope that helps!
It can be purchased at Wal-Mart (in the cake decorating section). They sell the Wilton brand. The bottle says it "restores the consistency of icing colors". But I have a fondant recipe that calls for it. 
You can buy marzipan already made if you want. They sell it at the grocery store in small amounts. it is in a tube or a box sometimes. It is a small amount like 8oz or 12oz. It is enough to make small fruits and figurines. It is in the baking isle
I have never found it at Wal-Mart, but you can get it at Hobby Lobby. The recipe that I have that calls for it is really good.
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