I'm using matting board, which is the stuff used to frame the borders of picturs before putting them in frames. I get 3x5 (foot) sheets at my local Micheals for $7.99 a sheet. Of course, here in PA, there's a 6% tax, but I still manage to get a few sheets every so often. Then I'll print out the Pepekura, and glue or tape it on the mat board and cut it out with my handy-dandy X-acto knife. Matting board is VERY strong and durable. I pelted it with my airsoft rifle and aside from a few dimples, it was fine. Just go to the framing department of any craftstore and ask for a 3x5 sheet of matting board. They'll ask you if you want noramal or acid-free. get the normal, it's cheaper. hope that helps.
BTW you'll need a lot of sheets for MJOLNIR. save up if you want to use it. It's expensive, but worth it.