Greetings Pablognr,
You can find some stuff at Generation Records (
www.generationrecords.com) on Thompson Street, and Bleecker Street Records (
http://nymag.com/listings/stores/bleecker_street_records/). They'll definitely have GnR stuff for you. Both are in the "West Village" / "Greenwich Village". The stores are about 10 minutes walking from each other.
Other than that, most of the other records stores here in the city have closed down!
You should also head east towards St. Marks Place between Third Avenue and Tompkins Square Park. This is where there's tons of funky shops. Most of all, the black/white footage from the Paradise City video? With Slash and Duff walking down the street? That's here. Between Third and Second Avenues.
Beyond that, MikeD is right, ebay.
Also, in addition to the Village Voice, check out Time Out New York Magazine.
Have a really good and safe trip!? ?
? ?Cheers!
sh