Cardboard or cardstock is a cheap alternative. Ive seen plenty of people making theirs out of wood. Clay is a good option. Or you can use a resin and a mold and cast them. Probably your best bet is to use a combination that you're comfortable with. Head over to the forum and read up some of the stickies. Also If you're planning to make weapons first, Check out the creation discussion link on the forum and click on the weapons and props link. Good luck man.