They actually did film in a Costco, on a working schedule between the hours of 9:00 pm and 9:00 am. Since they were there for such long hours, members of the crew were trying clothes on and looking through the other products so Costco kept a cash register open all night long so that anyone could purchase things.
The screenplay written by Michael Cahill was entered into the 2004 American Zoetrope Screenwriting contest and though didn't win, was a finalist.