The last sheets I bought, and I buy a lot of them (oy vey!), were from BB&B (Wamsutta 400tc Queen $29). I don’t have a Costco near me but I’ve had their sheets years ago liked them. I’m actually still using them on my own bed 10 years since original purchase.
As others have said get lint rollers! I lint roller everything - comforter, couch (so much hair on the couches!) throw pillows, you name it I lint roller it.