Yes, you can get most of the other oils from these shops too, much cheaper than specialist shops/websites. For coconut oil it's best to look for the Parachute brand if buying from Asian grocers, KTC, Pride etc are all refined, bleached and deoderised with no smell and don't tend to perform as well. Though The best coconut oil is the virgin type, you can find it in health food shops and online.
Sesame oil is often labelled "til" or "gingelly" oil.
ETA a good website for these and other oils/herbs is www.spicesofindia.co.uk