From what I've seen digging around on here, most files call for 1/8th or 1/4 inch which you should be able to find in hardboard or MDF. Carpathia's Pistol file calls for 1/16th inch layers. Based on what we had available, we're using 1/4" and 2x 3/16" to get the 10 middle layers that are identical. Glued together and will get 10 layers in one run on the saw. For cost, MDF seems like a good material. I haven't built any props yet, but MDF is more uniform density as you're not cutting with or against grain ever, so I'd think some turns and curves would be a little easier, and it does seem like it files down very easily.
Drawback of MDF is the weight, but weight does give a more real feel. And slices give you the option to hollow out some spots to make it a little less heavy.
Based on what experience i have working with wood, and what I've seen of the files, I'm likely to stick to scroll saw as it allows for a lot more detailed cuts and can cut up to 1" thick if needed, though its less likely on a prop build. Also may use wood filler instead of bondo as that should require less ventilation.
We haven't started building yet, but on the DMR sliced file I found, I was able to join faces and connect the grip on each of them.. less cutting and gluing or taping on the template, so in pep designer you might be able to do that to make your template simpler as well. I cut out the templates already and that joining in pep designer did save me some time.
I haven't gotten far on the prop build yet, as I'm going to be juggling with some armor and am still lining things up. Subscribing and hoping that I can learn some things from your build.