I focus on a sheet of paper from the pack I'm printing on. I usually forget to change the aperture from 2.8 to whatever aperture I'm printing at at least once in the printing session, so I usually have some spare sheets lying around. I usually print at F/8 or F/11, so I dont think the thickness of the paper is going to make a noticable difference.
The fact that I focus on a sheet of paper has nothing to do (for me at least) with the final print being out of focus because of the thickness of the paper. I've been doing that since my first photography class because my instructor said it might make a difference. It's just habbit for me. Better safe than sorry, I guess