Hmm I think most people would recommend you use foam. Free foam from old car seats and people giving it away are one thing. There is cheap craft foam too I guess.
I mean you could use like paper mache or cardboard but it won't last. The other thing is to base it on a balaclava or something but that still usually requires a little bit of foam I think. You could use an old halloween mask and cover it or something, that's another option.
