Most have replied about bulk felt. It's good if you can find the right wool felt without any man made fibers. There are a couple of other options if you scavenge a bit. The soles used on fly fishing wading boots are made of wool felt. They are replaceable and can be bought to use for wads. The other option is wool felt boot liners on clearance. I've seen them at the end of winter as cheap as $1.00 a pair. That wool is probably 1/4 inch thick or thicker. That would be perfect for wads. You just need to check that they are all wool. Heck a pair of those would make enough wads for a whole years worth of shooting.
I purchased a couple of wool felt cowboy hats at the thrift store for about a dollar each. Those are really tight and stiff, and I have found they make excellent over powder wads in my cap-n-ball revolvers. You could also use that same type in a pinch, but you would have to stack maybe 2 or 3 on top of each other to get enough cushioning effect as hat wool is only about 1/8th thick. Hope that adds to your options.
Ohio Rusty