What kind of paper is used for paper lanterns, and can you buy it by the roll?

Only a suggestion, and only useful if you're in London really - try a walk round "Chinatown" in Soho - there MUST be a shop that sells all you need for them - after all, they love all their paper lanterns and animals etc - perhaps you could even find a place on-line - but go for the Chinese aspect. I'm sure you'll find something there.