Well, there are quite a few options... You could check out Goldfishconnection.com and have a look at Rick's Progold food, that is really excellent. He has some nice foods there all around, and they are high quality. He also sells something "flaky", called Seafood flakes, and they do not float much at all. You can push them down into the water, and they don't come back up. That container lasts you a life time, and then some.
Other things that you can get in the pet store are sinking pellets. I found some nice ones that are really soft, and I can squeeze them into smaller pieces for my fry very easily. They are from HBH and are called "Super soft Frozen food alternative", and they come with either spirulina or krill, and have red or yellow tops on them.
I realized the other day while looking for sinking pellets that the choices aren't all that great, especially if I wonna stay away from the "junk" brands that mainly use fillers as main ingredients, instead of wholesome food. Hikari is one of those brands that makes excellent food, and I have tried the lionhead enhancer variety with no floating issues whatsoever.
Have a look around and see what you find. Not all stores carry Hikari, but they might be willing to order it for you.