I usually buy Velum Paper from the office supply. It comes in sheets and it comes in rolls. If I need more than one copy I take the thread out of my machine and I sew on the lines to make the paper piece. It also comes off easier as well. Make sure you mark which is the right side of the pattern or you will have some reversed pieces.
If you decide to photocopy the pieces make sure that you use the same copier and check to make sure it is lining up on each copy. Sometimes if you make multiple copies it seems to change sizes.