Actually, that was only in the film. In the book, when the Reaping was over and people were coming to say goodbye to her, right after her mother and Prim left, her friend Madge, the daughter of the Mayor, gave it to her. The reason behind that is in the second book Catching Fire
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They do it throughout the book, at random times.
Prim dies on page 406
She doesn't. As far as I've read she isn't in Mockingjay.
Peeta announces Katniss is pregnant (but she really isn't) in Catching Fire, the second book, but I don't know what page.
The exact page will be different from copy to copy. It depends on which edition you are reading. However, Finnick's death can be found in chapter 22. It is in the tunnels, during a rebel raid on The Capitol.