Don't they? There's a scene in S07E05 around the 45 minute mark Jorah Mormont is seen putting a big wooden crate into the boat right after he puts in his longsword. It clinks when it's moved. Around the 54 minute mark, once they arrive at Eastwatch, Davos is seen taking this same crate out of the boat. The camera then pans out and two of the men are carrying this crate to the Wall. I took that to mean the crate contained obsidian (=dragonglass) weapons - those they've managed to create so far, at least.
Nobody mentions it or anything, but what's the point of that crate otherwise, and why would two men need to be carrying it?
In the leaked episode (S07E06)
Jorah kills the undead bear with a single stab of a dagger around the 24th minute mark. Why would he use a dagger when he has a perfectly good longsword within reach? It's safer to use a longsword, after all, you can stay further away from the mad bear, which is also on fire. Just before that we see the Hound ready to battle the bear with a similar dagger in his hand. Again, why a dagger? Because it's obsidian, while their swords are just everyday steel. At the 28th minute mark we actually get to see the dagger Mormont is wearing and it looks like black glass, so again, dragonglass.At the 30th minute mark he very obviously uses this same dagger to battle undead. At the 43rd minute mark, Mormont takes out another dragonglass dagger.
So it seems they do have some obsidian weapons with them, though not enough for everyone. They probably set out before they could mine or make any more?