There are various answers to this. We found the cheapest and most authentic vintage option was to get a pair of old tights and fill with your own hair, collected from your hairbrush of course. Free and matches your own hair perfectly but also a little odd :-)
Next cheapest option is to go to the chemist and buy some foam rollers. For some reason these seem to always be in bright pink, but you may be lucky and get another colour. The pins pull out of the middle, leaving you with a little foam roll
Last option, depending on what style you are trying to create is boots. They do a mesh net large rat which would only really be suitable for the styles where you roll up the whole of the back of your hair. I wish they did make smaller version of these though, as I have the donut version for pretty buns and its so easy to put pins in
Obviously there may be fourth and fifth options that are far more useful but I haven't finished my cup of tea yet
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