They are sold separately, lots of different brands. The ones I use are from Germany and cost me $11/pair... but I don't remember the brand name. They are self-stick and you place them on top of your insole, behind your metatarsal heads. The shoe store where I buy them helped me find the right spot. (Shoes 'n' Feet, it's a chain, but a good one http://shoesnfeet.com/other.htm )
Metatarsal buttons made a huge improvement in my cycling shoes, and I'm really glad I got them.
Edit: by the way, metatarsal buttons are very different from metatarsal cushions. What you're looking for is the button which goes behind the metatarsal heads; the cushion or pad goes under them. Watch out for that at shoe stores, they might not make the distinction. Oh, and if you google "metatarsal button" you get a whole bunch of cycling sites!