One thing to keep in mind is that if there is no one at your school, you can often either have a local advisor and an advisor elsewhere, just an advisor elsewhere, or have a local advisor who will sign things while you're really talking to someone else.

As far as finding an advisor at your school, go to talks! Professors (at least here at U. Penn) give talks fairly regularly about what they're working on, and if they aren't, you can often email them to ask if they can talk to you about what they do, and then if what they do is like what you're interested in, you can talk to them about being your advisor. Another way to do it is to talk to professors who've taught classes that you've taken, and try to do a reading course with them.