Hi Ken,
I'd imagine you'd need to scale the .bmp (I don't think it has any sizing information in it) - if you go the .bmp route then do a test print and compare it to the size of the 40 pin socket, then scale/print until the socket pins line up with the 'holes' on the printout.
However - I'd recommend using the shareware version of proteus and using the proteus file I've included. Proteus can be downloaded here
http://www.proteuslite.com/. Load the file and output just the copper layer to your printer. It should be possible to convert one of these files to a format suitable for cutting on a cnc machine - although I haven't done this myself.
Steve