There is really no replacement item for the applique pressing sheet.
It takes the heat of your iron, indispensible for using when putting together double appliqued shapes before setting them on the fabric.
You will spare yourself many burned fingers and gluey ironing board covers. It is worth the price (haven't priced them lately, but three years ago, they were fifteen dollars.) Well worth the price. <wave> And, they are quite common any place fabric is sold.