My favorite method is freezer paper. I cut out the shape, iron the freezer paper to the wrong side of the fabric, cut out about 1/8" around, then use Elmer's school paste (comes in a jar, smells like peppermint) and my finger to smear paste and turn the edge under.
Later, after the entire quilt top is done, I remove the paper by first cutting out the background paper about 1/4" from my machine sewing line. (The freezer paper makes it very easy to catch just the background paper with the scissors.) Then I "paint" each edge where the glue is with water, let the whole thing sit until the paste has softened, then remove all the papers at one time.
To make multiple freezer paper shapes, I first trace a shape onto freezer paper using a Sharpie permanent marker. Then I layer this on top of 5 other sheets of freezer paper (all of them with waxy side facing down) and iron all around the drawn shape. This holds the 6 layers of freezer paper while I cut around the drawn shape. With this method I get 6 shapes cut out for a single tracing and cutting.
I have a little iron and heat-resistant mylar. Just could never get the hang of working with either one.