I got mine at Joann's. They carry several thicknesses, though, and I couldn't tell you what I have used. Just went to look at it and it has no info on the paper that comes with it (to keep from sticking). Does the pattern not say which thickness to get?
Also, as nativetexan said, if you don't have a teflon foot, you will want to use tissue paper between vinyl and foot. Another option I have heard of is to put scotch tape on the bottom of your foot.