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I just use Conqueror 160gsm thick paper and it goes through my laster printer fine. The resulting data/det labels stay on the pins firmly but to ensure they don't rotate or slip in time you would use thick pins - like #3 size. That's why i (and a lot of others) prefer staging - the resulting specimen, stage & labels are very solid and protect the specimen well.

Watkins & Doncaster aren't the cheapest entomological supplier but they do sell the best equipment here in the UK. Their site is http://www.watdon..._home.html. They sell plastazote boxed & pre-cut into short strips that you just have to cut to the correct length. I use these and their A1 & D3 micropins - stage pins can just be cheap, steel Asta pins :)