nor'easter & ADKer - I think parchment would work fine! I might even have to try that, to save myself a few bucks! :)
I haven't really noticed much difference in how fast I go through my needles when paper piecing. I use inexpensive universals, and I generally change the needle for each project...unless say I made something really small. But between large projects I'll switch. If yo'ure really concerned about though, say you use really nice expensive needles, there is a quilter who's method might help you. Her name is Judy Mathieson, she was just recently on Simply Quilts, and even has a web site, she uses freezer paper. She does everything the same, exept she folds the paper back on the drawn seam line, and sews right next to it, so she never has to sew through the paper at all, (or rip it for that matter, and I believe that's the reason she started doing it that way).