I use felt brought by the yard -- it's less expensive that way. First practice just on the one layer; when it's "used up" pin a piece of "unwanted" or scrap material (clothing too worn out to contribute to charity stores would work, or old pillow cases, table cloths, etc.) pin that to your used up felt piece, then do it again. I like cutting the felt in about 24 x 24" so it can be moved easily without being so small it needs to be replaced too often. It's a bit thinner than a quilt sandwich so be sure to "move up a step" before you start on your project. There's always a piece right next to my sewing area to do a quick practice before I start quilting on my project.
Another trick --make a couple of color copies on your printer of the top you will be quilting. Pinned to your used up practice felt, stitch through the copy to test out your pattern with various threads to see what your finished project will look like. Then throw the whole thing out! You've now practiced what you will be doing and getting the look you will have.