They sell Knox unflavored gelatin in little packets, 4 to a box for around $2 at the grocery store, in the baking aisle.
Not sure about the preservatives, but I always remember the FSG in the fridge because I stumble down the kitchen to make coffee and then I pull my my juice out of the fridge so the FSG is there, staring at me as if to say, "Let's make it happen!" (Put it next to your juice, I'd say. Or eggs.)
Do you mix the coconut oil with anything else in your hair (say a styler, or a leave in) that has a protein or drying ingredient, because if so that might be why. Coconut oil doesn't have any protein in it because it's been separated. It's all fat, no protein. But it does allow stuff to better penetrate the hair shaft. And if you're using it to seal and then maybe putting a mousse or gel over it (which can be very drying pending on the ingredients) that might by why. If you're using it to deep treat and using it just by itself without mixing anything else and it's still drying your hair out then I don't know but I'd leave it out of my hair. Everybody's hair is different and sometimes it hates a particular ingredient for whatever reason. Wish I knew why.