In America, we often say "a copy of...", but it's by no means necessary. Sometimes the phrase "a copy of" suggests that the book is *in stock* and available for immediate purchase, whereas merely having "the book" may mean that it is *usually* in stock, but for the most part, it really doesn't matter. To be honest, I'd just ask, "do you have Lord of the Rings, by Tolkien", naming the book and author without saying "copy" or "book".

I don't quite understand why you need ask for a 'copy' of a certain book. (although you could, if you wished...). You can just ask for the book: 'Do you have Sense and Sensibility?'

There are many ways to say it, all correct. It is not usually necessary to use the words "a copy of." In speaking, you can't use quotation marks. The only reason to use "a copy of" is that signals that the words that follow are going to be a book title. You don't need to use them if your request is clear without it. It usually will be clear. So a natural way to say it, and the way I would say it myself, is "Do you have 'Sense and Sensibility?'" This works if the person listening to you can tell, just by listening, that the words must be a book title. I'm having fun trying to think of examples where it wouldn't be clear, you really do need to say "a copy of." John McPhee wrote a nonfiction book about oranges, entitled "Oranges." If you went to a bookstore and said "Do you have 'Oranges?'" the listener might think you had said "Do you have oranges?" They might say "We have a little coffee shop but I don't think they have oranges." You can avoid the ambiguity by saying something like "Do you have a copy of 'Oranges,' by John McPhee?" Or, "Do you have a copy of the book 'Oranges,' by John McPhee?" Similarly, imagine someone asking "Do you have to have and have not?" In real life, this book is so famous to English speakers that they would recognize it. They would know you are asking "Do you have 'To Have and Have Not?'" But it would be clearer to say "Do you have a copy of, 'To Have and Have Not,' by Ernest Hemingway?"

I also have that book.