I use newsprint. I have both the kind from the newspaper on a roll and the kind that comes in a pad. The padded kind is more expensive, but I think it tears out more easily. The roll ends of the newspaper are so cheap that I don't mind the extra little bits of paper that sometimes remain.
To Use newsprint, you can make a copy of your pattern and staple up to 16 layers of the newsprint together. Then un-thread your sewing machine and stitch on every line. Add a 1/4" seam allowance if the pattern doesn't have it already there.
Remove the staples and number each piece and you're ready to start stitching!