Here's an article on 'remember when' in Greensboro:
http://www.digtriad.com/news/story.aspx?storyid=118061
Also, try Winston-Salem which isn't far away either. Is Record Exchange still open there? What about Mighty Quinn Music?
"Remember When Records" is supposed to be the biggest all-vinyl shop in the area. I haven't been there yet, it's an hour away, but it's on my to-do list.