Etiquette wise, I think I'd go to your manager (who seemed to understand that this is really a problem), and tell them that your pay wasn't corrected properly, and that this has happened multiple times before. Getting paid properly and on time is important, and knowing that your pay slips will be handled correctly is vital to this, so if it happens again, you'll talk to the union to lend weight to your complaint.
That gives your manager an official complaint (the former was a more casual, 'by the way...' sort of thing), and a chance to come down heavy on your supervisor and the pay lady, knowing that if they don't fix it, you'll bring in backup, and the problem will become official.