Parchment paper is the best way to keep your scones from sticking on your baking sheet during baking. Greasing the pan with butter or oil changes the flavor of the scones and some portions of the scones will usually stick to the baking sheet.
You can readily find parchment paper at any supermarket but it may be expensive for a small roll. I buy larger rolls of parchment paper at my wholesale club for about 1/5th the price at a supermarket. You can also buy larger rolls online or on Amazon.com [affiliate link*].
*Seasons of Scones is a participant in the Amazon Services LLC Associates Program, an affiliate advertising program designed to provide a means for sties to earn advertising fees by advertising and linking to Amazon.com As an Amazon Associate, Seasons of Scones earns from qualifying purchases.