is Response.Redirect([Store Selection Page URL], true) the best way to handle getting one?
"Best" is somewhat subjective and very context-dependent, but some observations:
By accessing Session from your Class Library, you're increasing coupling (it needs to be called within the context of an HTTP Request, which, among other undesirable traits, makes it less testable). I'd get the name or id of the current store location in the UI tier, and pass it to the class library.
If you need to redirect the user to another page, the overhead of throwing an exception is probably negligible. But again, the class library is probably not the best place to do this: you should check if the current store location is in Session in the UI tier, and do the redirect there.