I've seen achiote at Edgewater Produce on Clark and Harvestime Foods on Lawrence. I also recall buying it at Aguascalientes on 26th in Little Village. It is a little brick of paste and some places might have it by the register or on a counter, don't be shy about asking. You often see the different leaves for tamale wrappings in the freezer (Edgewater has banana leaves in freezer right now). If you see any grocer catering to Guatemalans go there, as they will most surely have all the items you're looking for.
good luck (buena suerte!)
bjt
"eating is an agricultural act" wendell berry