I use 2 pieces of 2x8 pink rigid insulation purchased at Lowes or Home Depot. They are tongue and groove on the long sides and I use duct tape to hold them together, this way if you don't have alot of room you can take them apart when not using them and they take less room. They don't have to be nailed to the wall, I just lean them against the wall.
They can easily be moved anywhere they are so light. I covered mine with a cheap vinyle tablecloth felt side out, using the duct tape to hold it on or you can sew two tablecloths together and put it over the top like a pillowcase. I have been using mine now for well over a year and I love it. Also if you have a heavy quilt etc. you can use your pins to help hold it.