While you don't have to buy lingerie for your session, I've noticed that most of you want to pick up something special.
Here's a few tips and a list of my favorite places to shop for plus size lingerie for your boudoir session.
Bra + Pantie Sets
I recommend bringing at least one bra and panty set. Ideally not a bra with firm cups, rather a bralette style which will move with your body.
For panties, I love cheeky panties and thongs. If high waisted panties are your thing, consider bathing suit bottoms, which are usually more comfortable than shapewear.
Body Suits
Another favorite, especially for women who would like to hide their tums, are bodysuits. These can be found almost anywhere these days. Even Amazon has a large number of options.

Baby Dolls
These can be great for hiding tums too. As a plus, they're often very feminine and flirty. Make sure the cups fit, as gaping can be really unattractive in a photograph.

Stockings Etc.
I freaking LOVE fishnets. I think they make any photo instantly sexier. I usually recommend wearing them inside your underwear for photos, which I know is a little counter intuitive, but looks great.
Make sure that your stockings and thigh highs fit. Look for plus size options from retailers like Torrid.

Fabrics and Details
I personally like sensual fabrics like lace, silk, satin and velvet. Items with details like bows and straps (especially for panties) are really nice. Try to keep prints to a minimum as they can be distracting in a photograph.
Where to Shop
Now that we've got what to shop for out of the way, here's a list of places that carry items for plus size women in particular. Many of these places also have items for average sized women as well.
https://www.penningtons.com/ / Additionelle
https://thistleandspire-ca.com/ (only up to XL)