The Dells is largely a tourist area, not a major population center, so you are not going to find much in the way of O gauge hobby shops there.
The shops in the Milwaukee area include Sommerfeld's Trains (Butler, about 2 1/2 hours from the Dells) and Hiawatha Hobbies (Waukesha/Pewaukee, about 2 hours).
There is a hobby shop in Beaver Dam, Kornely's Craft & Hobbies, not too far from the Dells, but it doesn't have much O gauge stuff.
Madison, a hour south, is down to one big hobby shop, and not very much O.
La Crosse, an hour west, has two hobby shops, but I am not sure about their train stock.