At one time many years ago it was printed on the DA FORM 4856 itself. It appears this information has been removed.
Previously the document stated copies would go to the individual being counseled and the leader conducting the counseling. I also suggest forwarding a copy to the unit orderly room for record-keeping. To my knowledge, there is no regulation that dictates this behavior. When in doubt, check local policies and procedures and check with your supervisor.
[Mentor]