Local Sailor's suggestion is about the best you'll find anywhere in the VI and that's one place you can get whatever you need for fishing and it's located at the American Yacht harbor complex in Red Hook.
Some of the larger super markets sell packs of frozen squid if you want to bait your hooks.
Rigged Ballyhoo is definitely better then most lures but I and others never have a problem using the smaller lures without the hassle of refrigeration of real bait.
The small Chartruese and Red colored squid lures work fine for Tuna, Wahoo, Mahi and what evers out there and if you see a shallower area coming up with coral just sheet out till you slow down enough for the lure to sink and 9 out of ten times a Yellow Tail Snapper will hit it.