Citations in scholarly literature, in bibliographies, and in some indexing sources to Parliamentary, or Sessional, papers have these elements: Document title, session year, paper number (if given), volume number (a roman numeral) within the session year, and volume page number. For example: Estimate for Completing Exhibition Building 1863 (382) XXIX 381.
Using the online indexing features of the web sites in the Parliamentary, or Sessional, Papers--Full texts section of this guide is usually easy enough. Using the Sessional indexes for the micro sets is difficult. But here are some paper indexes, just in case the online indexing is insufficient.
Index to the House of Commons Parliamentary Papers, 1901-1996 J 301 .K25 1996 CD-ROM in DMC Digital and Multimedia Center 4th floor West
Indexes House of Commons papers, command papers, bills, accounts, acts, and returns. From here, use microprint set #10 or microfiche J 301 .K5 or .K6 Hollander MakeCentral, 2nd floor west. Not so good for foreign policy material. For those, see the next entry.
Century of Diplomatic Blue Books, 1814-1914 Z 2009 .T28 Main
Breviate of British Diplomatic Blue Books, 1919-1939 Z 2009 .V6 Main
Citations to foreign affairs items. For each Prime Minister’s administration there are two chapters. One discusses the policies of that administration; the other provides citations to blue books, the documents. Subject index at back. Write down the citation: document title, session year, paper number (if given), volume number (a roman numeral), page number. From here, use microprint #10.
British Government Publications, an Index to Chairmen of Committees and Commissions of Inquiry, 1800-1978. Z 2009 .R535 1982 v. 1-3
The purpose of this volume is to help researchers ascertain the volume in the Sessional Papers in which any particular Command Paper whose number is known may be found between 1833 and 1961/1962. The only information provided after the command number and session year is the volume number and pages where the document is located in the Sessional Papers. Use this if you have reference to a Command Paper by number but lack information on the session year, volume number, and page. Then take this information and go to the Hollander MakeCentral on 2nd floor west of the Main Library and use Microprint #10, the Sessional Papers on microcards. This book has been digitized and is available in HathiTrust, here.
There are a great many older, printed indexes and bibliographies for identifying citations to particular Parliamentary documents. They are listed in section II.B. of the 2000 edition of Finding British Parliamentary Papers in the M.S.U. Libraries