Since it's a human insulin, most vets don't keep it in their offices and even if they do, you don't want to buy it from them if they re-package it (like sell you a few mls at a time instead of a whole 10ml vial) since there's no way to know how sterile their technique is or how old the insulin might be that they're selling you.
You might want to call around and see if you can find someplace that will sell you just one Lantus Solostar pen while you're waiting for your order from Marks (I also highly suggest you ask Marks to send you pens instead of a vial.....if you drop a pen, it's more than likely going to be just fine...but if it does happen to break, you'll still have 4 more in the refrigerator)
Your vet will have to write you a new script for you to get it locally though.