It's actually a complaint of mine that I can't mostly buy these for $1-2 on Amazon and call it a day. Rather I have to head around the web and find "free" copies that may or may not be legit or buy collections off Amazon (which may be OK). But, yes, it's annoying I can't legit just pay for the whole collection, much of which is pretty old.
Popular collections tend to stay in print in softback for a while. The late Gardner Dozois edited "Years Best Science Fiction" every year which is a hefty collection of good short SF from that year, usually takes me a few months to consume one of those, and it's nice to have a mix even if not all the stories are to my taste. The collection is paying the authors for their work to appear, so if your concern is whether authors get paid that's covered.
Even really old stuff is not infrequently still in print. Somebody else mentioned Lem, the English translations of Lem's short fiction are generally in print, though it can be a struggle to find things like Hospital of the Transfiguration that are a bit niche (and not Science Fiction) or his literary criticism (Lem thought most SF in his day was crap, I am tempted to agree)
You will struggle to buy individual stories because that's not really a thing. Some professional writers only write shorts to introduce an idea or setting before novel-length publication e.g. Egan gives away shorts about the Amalgam, the setting for his novel Incandescence, and the intro to some of his novels works as a short (e.g. "Orphanogensis" is actually the start of a novel, but it's also a perfectly functional short story about "orphans", people created randomly in a society where people are just software...). So for those the author believes they are essentially advertising the larger product with a free story.
Finding (print) anthologies that contain a specific short story can be a challenge though.
I got introduced to Bujold's Vorkosigan series via the short story "The Borders of Infinity" which is (amongst plenty of other anthologies and a collection of three Vorkosigan shorts confusingly called Borders of Infinity itself) included in Infinite Stars (ed. Bryan Thomas Schmidt). Getting most of the novels was easy enough, but hunting down the remaining short stories meant foraging for second-hand out-of-print anthologies.
It's a bit of a pain, but I've had some luck using isfdb.org. I search for the author, search and click on the desired title, and then check to see if it's in an inexpensive ebook collection.
For example, I see that Asimov's 'The Last Question' is in a giant collection called 'The World Turned Upside Down' which can be found on Amazon for 6$.
