Go to the big Lavers timber yard the other side of Mosborough. If you want marine ply, loosen your trousers before you go in. It could be worth shopping around - its a few months since I bought any wood (thank God!) In general though for Sheffield at least, Lavers are the cheapest. Greshams on Chesterfield road might also have some nice ply in, but they really will have your pants down, in no uncertain terms!
Cheaper options I would consider is to get a good quality exterior ply (about half the price of marine) and seal it in varnish, coovar, or some other wood treatment. It should be good for the winter months then. Exterior ply glues are pretty good and shouldn't de-laminate for ages unless the wood is going to be submerged for a long time....
Of course, if you want the Rolls Royce of plywoods for climbing walls, Lavers can style you with their inch thick marine ply. Its the stuff the Works campus board is made from, and truly is beautiful stuff (but insanely heavy).
