Does sams club sell pecorino Romano cheese ?

Yes

They do have a cheese section but that one is pretty specific, you might want to go and check.

Thank you all.Do you know if it comes in a bag, grated like parmesan, and is 2 lbs. Or so?)

Yes they do. They carry Locatelli brand which is one of the oldest and best brands. Also Members Mark brand which is great for bulk use.