Every now and then Rightstuf.com will have the set on sale. As for Eikoden, the final OVA, that was a part of Rightstuf's Geneon sale at one point, but sold out quickly.
Just a word of warning - all of the Fushigi Yuugi OVAs are *vastly* inferior to the TV series in terms of storytelling quality. Frustratingly so. You might be better off avoiding them entirely if you value the purity of the franchise.