should I just get down the local shop and have them replace the
retainers? Or would it be better to replace the entire headset
Replacing the bearings and retainers is cheap and easy (you should be able to do that yourself), you just need to work out what size you want. Since you have all the parts, measure the size of the ring and the bearing diameter and match it up with what you see online. Then you have two options - take just the bearings to the shop and buy matching new ones (if you can get there easily without your bike); or ride down and buy replacements that match your measurements. I would try that first.
If you want to pay the shop to do it, it's not a complex job but fundamentally anything a mechanic does takes half an hour because of the time to get the bike up and look at it, then test ride and return it. So you're looking at half an hour times whatever they bill mechanics out at, plus the $10-$20 cost of the new bearings.
The counter-argument is that a whole headset is only $40, and you could upgrade to a sealed bearing one for little to no extra cost. If you have a few tools that's relatively easy, although a length of threaded rod and a few nuts that fit it makes pressing the new cups in easier. Some shops don't bother stocking replacement bearings because the price difference to the customer between just bearings and new headset is small, and the cost of someone coming back and saying "still ugly, new headset" is more than the profit on the job. Viz, the mechanic time is, say, $50 either way, but the bearings are $20 and the headset is $40. Is it worth paying an extra $50 if you're wrong to save $20 if you're right?
That equation changes dramatically if you're doing the work and the bike shop is easy to get to. Then it's purely $20 vs $40.
(edit) I disagree with the comment. Modern frames and headsets are designed not to need a viciously tight fit into the frame, so removing the old headset should take a few gentle taps with a drift rather than any real force. Older steel frames with steel headsets were often designed to be very tight and required considerable force to remove. With those it was sometimes necessary to re-ream the head tube to fit a new headset in. These days, especially with an aluminium frame, while it's easier to dent or bent the aluminium, you also need much less force to remove or insert the headset.
Doing the work yourself should be straightforward. I find that often I can twist the headset cup and work it out just with my hand, or tap it out using a drift just working round and round tapping the drift with a small piece of wood. Similarly, inserting the new one can often be done just by pushing on a piece of wood resting on the cup, but it's safer to use a length of threaded rod and some big washers or a couple of bits of wood drilled appropriately. The point of that is to make sure you're pushing the headset in exactly true so you don't deform the cup or score the frame.
This is another time when "if you find yourself using a hammer on a bike, you're doing something wrong". The hammer is essential if you have a proper headset removing tool but a bad idea otherwise.
http://www.parktool.com/product/head-cup-remover-rt-1
