There are online shops where you can order vital wheat gluten, but I've yet to see it in a shop (although I haven't checked Whole Foods yet). Unfortunately, Mr A takes forever to warm up to the idea of spending money online. I am looking for seitan/vwg and a good source of nutritional yeast. I asked at H&B, and the shop assistant had no clue what I was talking about. I am going to Vx in the next few weeks as well as a bulk food shop near here. I will let you know if I see any. [ETA: Yes, you can make VWG yourself, but I really hate the feeling of gluten. So much so, that it took years for me to get used to making homemade bread. But if you get strong flour, you can just mix it with water, let the gluten develop, knead a bit, then rinse until you have the basic ingredient for seitan.]
I don't consider myself vegan, but I am doing a sort of strict vegetarian experiment for a month or two. I too don't eat much soy (and never in the quantities needed to satisfy any protein requirements) and rarely eat Quorn ATM. I've been eating a lot of nuts, beans, and seeds, but I am also disappointed in the non-soy choices for protein. The only almond milk I can find is £3.55 a litre.
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I will let you know if I find anything.
ETA: Also, have you considered quinoa for a protein source? It can run a bit expensive, but some is cheaper. We had a small box of the no-soak kind, and it lasted the two of us for about 5 meals.
Also, I emailed Tesco to get a list of their current vegan products, and they sent me a pdf. Most of their own brand frozen vegetarian burgers are vegan. I totally recommend their bean one. The non-soy vegan protein problem is one of the reasons I can't make this experiment totally vegan as I occassionally have Quorn because just eating beans, lentils, and nuts isn't really realistic.