[Indemaijinj]

If you don't care to travel to the Windspear Hills yet there is another way to obtain an ankheg shell.

Smallish item spoiler:
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In the bridge district there is a free standing house with a few steps leading up to the door. Inside you will find a small home, sometimes with a woman and a child present. If you don't spend far too long time in there they won't sound any alarm. Inside there is a small trapped box. The trap is a non-damaging Stinking Cloud, so don't fret if you can't disarm traps. Inside the box there is an ankheg shell. Perfect for a suit of ankheg plate mail.