Each pressed penny machine has three different choices. Usually DD wants all three! There are machines all over, including the hotels.
Make sure you get a pressed penny book prior, then once you get a penny, put it immediately in your book. This way you can keep track of what you have.
I usually keep the quarters/pennies in those mini M&M tubes, they are great and you don't have to mess around your backpack/bum bag looking for quarters/pennies.
I would say bring at least two rolls of quarters and 40 pennies. This way if you really get into it, you'll have enough. Also there are 6 spaces for pressed quarters in the books ($1.25 per press) so account for any pressed quarters you might want
I found the new shiney pennies work the best, but others will dispute this.
DD and DS love collecting them. DD has almost filled her second book, and hasn't had a duplicate yet!
Have fun!