Crushed walnut shells are cheap (it's sold as reptile bedding). They have the advantage of a little residual oil so they keep pins from rusting. They're also "dense" (high weight for the volume they take up) so the weight they add helps keep your pincushion from moving around. They work great in the pincushion end of a thread catcher you can hang on the edge of a table or longarm.
Pincushion Thread Catcher pattern