I had the same problem at first. I cpouldn;t find anyone to sell me torches. I also had bad luck and couldn;t find them very often. I seemed to find them most in crate either in caves.
At some point, the Gods smiled upon me and I stumbled across a ring with Night Eye constant effect. Of course, as soon as this happened, I find about 3-4 torches every 5 crates or so I open.
My advice, search all crates you find in caves, and either enchant something with night eye or hope to find something already enchanted. I think I've found a couple of those, and a couple helms with Light effects. Night Eye is better though, since it lets you see in the dark without illuminating the area surrounding your character.