Can you not just add them to a folder in your Favourites as you do your research?
Then go back to the page and print whilst online? This will print the correct URL (provided it fits across the bottom of the page!).
Otherwise, copy and paste the page into a program such as Word, then copy and paste the URL from the address bar and add that to a footer in Word, and save it as a Word doc instead of a web page.
Not exactly what you wanted, but if you open IE, go to File Page Setup, click on the '?' in the top right of the print dialog box, and click on the word 'Footer', you will see that IE has only a few limited switches for inserting information into the footer. Once you have saved a web page to your HDD, that becomes it's location (or 'URL'), so that is what is printed.