Yes, they do sell pressed penny books. we got them last year on our kids' first trip. Some stores have more than one design....I think I saw a Princessy/Fairy one and then a blue more general Disney one. that is the only one at the store where we bought them, and both DD and DS love them.
They especially loved the pressed penny machines that they could cank on their own (which are harder to find). We now get pressed pennies at other places we visit and put them all in the same book for their colection.
We even found a great Red Sox one at a rest stop on the Mass Pike last summer...DS was SOOO excited!
There is a website devoted to pressed pennies at Disney...
www.presscoins.com
There are different views on the best pennies to use. Some say older than 1986 (I think that is the year) as they are made of a different material. However, I tried about 3 methods of cleaning them and it was not fun. I like the ones with brand new pennies the best, and I will be buying a roll of those for our trip.
If you haven't read it already, get the mini M&M tubes and stack them with 2 quarters and a penny, then repeat. Bring an empty tube for your pressed pennies. Makes it very easy when you want to get one!
Have fun!