I wear them myself and I'd be extremely nervous to buy tri-focals/progressives on-line. The effectiveness of them is dependent on extremely precise measurements (which you will have to do yourself) and just a few mm off can make them miserable to wear. On-line places take no responsibility for the measurements being wrong, nor of course can they adjust them on your face properly. Spend a little more and go to a bricks-and-mortar optician.
I've never gone to Costco personally, but if the price is competitive, they do have very good service and warranty policies.