Use american pennies made before 1982. They are made of a different alloy material (copper? I think?) and they press better. You can make them shiny if you soak them and shine them in a vinegar and salt water solution. Works great, but make sure you clean them right after you take them out of the solution, or they will turn green! (I learned my lesson)
Anyways, I used shiny pennies from after 1982, and they worked okay too. You can use Canadian currency, it works, but it is illegal to deface our own currency. Trust me though, you will probably
get enough pennies down there not to have to worry about it.
Hope that helped...
Jo