Graphite paper is typically available at art supply stores, and you can easily mail-order it if you put Google to work. That said, I suspect it might be difficult to see the line it would leave on the already-dark surface of PT wood. Have you considered photocopying the pattern and using spray adhesive to stick it to the material, sawing through pattern and wood together?

Use a soft pencil (a carpenters pencil held flat is perfect) and coat the backside of the pattern line heavily with graphite. Place the pattern on the material, and use tape to hold it in place across one edge. Trace the design with a sharp pencil or stylus. This action will transfer the graphite to the material. You have made your own carbon paper.
Other way is to use a pattern wheel (like a pizza cutter that perforates) and a pounce bag. That's the old way.
Casey

The chemicals in PT are poison. I would not recommend making anything of treated wood that people will touch with their bare skin. This is especially important for children as they naturally put their hands to their mouths. And a developing child is more susceptible to toxins than an adult. Even if you paint the surface of the wood, the chemicals will leach out. Consider using Redwood, Cedar, or Mahogany for decay resistance. You can use a natural oil like Tung or Boiled Linseed to help preserve the color. After a the oil is dry, the puzzle pieces should be non-toxic.

If you are making wooden toys for use inside, shellac is the best top coat to use. It is actually safe enough to eat (shellac is an FDA-approved food additive).

Amazon has carbon paper and I'm sure many of other places do as well. You might try a hobby and craft store.

As Jon mentioned, you're best bet is to simply glue the pattern to the wood. Use one of the spray type contact adhesives, which you can find in office supply stores, home centers, hardware stores, and craft stores. 3M and Elmers are two brands that I've seen many times.

Xerox the pattern onto clear acetate.
Flip the acetate over and xerox it onto plain paper so you have it backwards.

Pin the paper onto the wood and run a hot iron over it (high heat, no steam).

The copy toner will transfer to the wood enough to allow you to see the lines.

aidan_m - arsenic was banned from PT wood several years ago. It is no longer a health concern - other than it makes me sneeze a lot! You can even bury or burn it safely.

I think I am going to use rubber cement to glue the image to the wood. I am not really making a puzzle, but it is a secret until it is completed - I hope by next weekend.