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The critical factor is that it be acid free. I use 110lb paper which is quite thick but any weight greater than 28lb will do. Check with your laser printer to see what the maximum thickness (weight) of paper it will take. Check with the enomological supply companies to see what they sell in the way of label paper.
Paper with a high rag content is believed to be better than regular paper.
Hopefully some of the European Dipterists will comment.