You can buy reloading supplies - by which I assume you mean expendables such as bullets, powder, and primers - in New Hampshire (I like Riley's in Hooksett) or Maine (KTP) without any special license or indeed any ID at all. I'm not sure about RI and CT, but you may very well be able to do the same there as well.
Because of Sturmbannfuhrer Riley's (as now apparently enforced by Sturmbannfuhrerette Coakley) bizarre perversion of the laws governing interstate commerce, most mail order sources will not ship supplies into MA, and most will not even ship to a free state address if the buyer's CC lists MA as his/her home address. Some of us have carefully developed over the years a short and coveted list of vendors who have not lost track of their cojones and continue to do business as though Massachusetts were a free state. For obvious reasons, we don't release that information readily, but will share it at times with established NES Members (go green - it's worth it) whom we get to know and trust.