One lady had her husband make a strip that somehow he attached to the ceiling or wall and she hung a heavy (really fuzzy) flannel sheet from it and I think maybe weighted it on the bottom, too.
Another lady bought something specifically to tack on a wall - it looks sort of like a cross between squashed batting and pellon
Or you could tack/tape warm and natural to a wall.
Or get some of that foam insulation and cover it with flannel -
I tried to use my floor, but the cats thought the pieces were there for their entertainment.