Brooksy, I don't know what number, but coming out of West Croydon going north, cross the Sumner Road junction (where there are all the roadworks), and there is a parade of shops on the left. You can get Chief sauces in the one at the far end, by the Bensham Lane lights. It's a murky little place, the chilli sauces are at the back on the left.
http://www.streetmap.co.uk/newmap.srf?x=531750 &y=166750&z=1&sv=531750,166750&st=4&ar=N&mapp= newmap.srf&searchp=newsearch.srf&ax=530416&ay= 168046
I don't think you will find Dave's Insanity sauce locally. House of Fraser had it for a short while, but at an equally insane price.
The very very best one is Pickle 'N' Spice Hot West Indian Peppers, (the successor to Kitchen Magic) but it's from Harrow and I've only ever seen it locally in one shop at Pollards Hill (where I bought the entire stock) and he hasn't had it in for several weeks now. I've still got 6 full jars though.
Baron Blazing Hot Pepper Sauce is good as well, but I only found 2 bottles on Sunday, in that same parade, about 3 doors further down towards Croydon.