What are the best online or print sources for historical games? I am generally looking for pre-1930s games NOT by world champions, and, in particular, looking for games by some of the prominent women chess players of the time (Mary Rudge, Nellie Showalter, Harriet Worrell, etc.).
In addition to a handful of games at chessgames.com, you may find the following links useful:
About 35 games played in first international women's chess tournament held in 1897 can be found here. Games are in digitized form, in algebraic notation. The sources of each game (chess magazines of the time) are mentioned at the end of each game. You might be able to find these chess magazine pages at the Chess archeology website or by searching for the name of the chess magazines on archive.org. Using a similar approach, if you know the year in which the women players you are interested in played the tournaments, you can dig the games out from the archived magazines. These games will be in old notation, though.
A nice series of articles on women in chess published in a chess.com blog; contains a few annotated pgn games by women players (including the players you asked in the question).
Also, in reply to a comment you mentioned above (where do chessgames.com get their games from?), you will find the following answer in the FAQ page of chessgames.com:
The database has been constructed over a period of many years from PGN files obtained from free, public domain sources. Primary among these sources are: * University of Pittsburgh FTP - one of the oldest and most complete archives of chessgames online. * La Regence - archive of recent chess games, organized by ECO code. * Britbase - archive of British chess games from the 1920's to present. * Rusbase - the Russian cousin to Britbase. * The Week in Chess (TWIC) - Mark Crowther's world famous source for brand new chess games. * Lars Balzer's Homepage - A very well maintained list of places on the internet where you can download chess games.
The website http://www.chessgames.com is usually good for historical games. In particular, it has many games from the players you mention.