I love making pin cushions. I heard that you should use raw wool. I have stuffed pin cushions with wool yarn and I have also covered pincushions with felted knitted wool. I bet you could use wool roving as well.
I found emery sand here:
http://www.joggles.com/store/catalog...ducts_id=15142
The emery sand was a great idea but it's a little fussy to work with.