YankeeJim:Be happy they give you a "Walmart" ball instead of DQing you, which is what would happen IRL in a tournament.
If the optional 'one-ball condition' under the Rules of Golf is in effect, which it is in WGT. They now give you a warning when you are down to the last ball of that type, so you can buy a new sleeve easily without leaving the game, but in fact you can go to the pro shop anytime during the game and buy more balls.
If you forget to buy new balls and have to finish the round with Walmart balls, I assure you that will happen to you only once!
(In RL I probably buy all my golf balls at Walmart. They have plenty of varieties, but I go for the X-outs or the "pre-owned" balls fished out water hazards. They'll pretty quickly end up in a water hazard again anyway. One day a fellow golf ball at the bottom of the hazard will look up at a new inhabitant and say, "Hey! Haven't I seen you here before?")