I would have to suggest an office supply store, here in Canada it comes in a roll.

TreeFrog

I use cheap copy paper. Carol Doak's paper won't feed through my HP Laserjet printer unless I feed each piece individually. Also, it tears easily.

After using everything else, Carol's paper is the only thing I use now.

I purchase Helix Technical Vellum 25% Rag at Office Max and have found it at Office depot also. It is 25% cotton rag tracing vellum. It is a thinnner piece (regular vellum is too thick for me too)and comes in a 50 sheet pad 8 1/2 x 11" sheets I believe around $6.00. It goes thru my printer perfectly, and tears wonderfully!
I have used the newsprint, though have to tape it to another piece of paper when printing on it and it doesn't tear quite as clear and as nice and still do use it at times but find this vellum to be easier to use.
I use this vellum, quite often and tears nicely for PPing, I use a size 14 needle and a 1.8 stitch length.
I have also used lighter copy paper, but find it often for me it will tear stitches out when removing no matter which size needle or thread stitch length.

I find it in the drafting section.

Yes, that's a very inexpensive way and works great! :D

Try Carol Doak's website. She is the queen of paper piecing and sells a paper just for that, both 8 1/2 x 11 and 9 x 14.

Does it run thru the printer well?

Amazon.com carries Carol Doak's Foundation Paper for 7.14 for 100 8 1/2 by 11 sheets.

Sweet baby, Rachael.

I like tracing paper. sometimes I get lucky and find a pad of it at the thrift store!