The books are usually on top of the penny machines - if not ask at the counter of one of them in a store, the Emporium on Main Street has two machines and the books. My kids have a great time doing this every year and looking for pennies we don't have yet. We started doing this at Disney and now has expanded to other places like the zoo, travel rest stops, museums and they love it.
Make sure you save your oler shiny pennies - they do better. We give our kids each so many pennies/quarters each day we are there and they can use them on whichever machines they want, but still allows us to control how much is spent on this hobby.