For traditional paper piecing I use plain old copy paper, lower my stitch length to 1.5. I keep the paper intact until units are joined to complete a block (if a block is made up more than one unit). Once a block is done I peel off my paper. I'm seeing some techiques described above that I'm going to have to explore as I've not tried them. I have used Carol Doak's paper which is about 1/3 of the cost of vellum. I've never tried vellum.