I use freezer paper. I use a highlighter to mark the paper side of the freezer paper before I cut out the shape I need. The water soluble marker does not work well on the wax side of the paper. I just make a bunch of squiggles on the paper side. Saves my iron.
If you need the paper thicker, just iron two pieces of freezer paper together before you cut the shape you need. I use an old clean cutting board. I put the wax side down, then the wax side of the second piece of freezer paper down to the top(paper side) and iron together. Hope this makes sense.