The last time I made my own, I went to a Ben Franklin craft store & bought "blank" stencils - just the soft plastic sheets that commercial ones are made of. (The blanks were hanging with the other stencils) Check if your local craft stores carry it. It's very easy to cut with an exacto blade.

I have made my own by cutting out the shapes in tagboard, which holds up for a few, but falls apart. I've also used heavy acetate, which worked pretty well, too.