We used Wilkinson* washing line, unravelled and cut, for a VERY cheap alternative. One bundle, at £1.50, does a whole head but sadly only comes in blue, green, murky yellow and white. The washing line was cut into lengths and unravelled to produce three bits for each length. Then the bits were just tied at verious points along the lengths of braids, but I did find that these did fall out a bit towards the end. All in all, not bad for £3!
* - note to non-UK people - Wilkinson are a hardware/kitchenware cheaposhop in the UK. I imagine Walmart could help you out with something similar!