My design wall is 2 (blue) Tyvek insulation foamcore boards, 4' wide x 8' tall from Lowe's (my room doesn't have the wall space for anything more) . DSIL made a frame to hold the two pieces together. I the whole thing with Warm and Natural cotton batting, turned to the back and glued it with Elmers glue. DSIL then screwed it into the wall at the studs.
I like having the insulation since I can stick the pins in it straight if I need extra holding power.
I used the floppy flannel sheet before this and it was a true pain compared to what I have now.