Not really a lime, this fruit is native to Southeast Asia and used particularly in Thai Cuisine. The odd double leaves are most used, often in soups, but the rind of the fruit is used in Thai curry pastes. The rind is also used to flavor rum in Réunion and Madagascar. Many references say the juice is inedible but I do not find that the case, though there isn't a lot of juice in a kaffir lime.
The shrub makes a very nice and useful decorative which can be grown in a container, so many nurseries stock them. When fully ripe, the fruit turns just a touch yellowish and falls from the tree but it is generally used before that stage.
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Buying: These leaves have recently become much more available in the Asian markets here in Los Angeles They sell for about 2016 US $19.99 / pound, but a tray usually contains between 1-1/2 and 2 ounces, as not many are needed for most recipes. They may also be available frozen.
Of course, the best solution is to buy your own tree. Those sold by nurseries are generally on dwarfing root stock so they don't get too big and can be grown in containers. They are evergreen and fruit well. They should be pruned now and then to keep them producing plenty of leaves.
Storing: Both leaves and rinds are best stored frozen as they are useless dried. In both cases, freeze them submerged in water so they aren't quickly destroyed by freezer burn.
Cooking: Each stem holds 2 leaves (see photo above). A recipe calling for "4 leaves" means 2 stems. Recipes always use leaves, except recipes for curry pastes which use fruit rinds. Whole leaves are usually used in soups (I recommend crumpling them so they impart more flavor) but stir frys and curries use them rolled up and sliced with a sharp knife into very fine threads. The leaves are not softened by cooking.
Substitutes: Well, there aren't any, but if you just don't have the leaves, use the grated zest of a regular lime - not the same but at least it's something.