Cardboard works, but it's harder to bend the pieces into shape. Some people use sheets of foamie (craft foam, found in any craft store). I use cardstock.
You can use paper mache to strengthen it if you want, but it's not as strong as other methods. Some people use bondo auto body filler. Others use PVA (white glue). Some use fiberglass cloth and resin. Me, I use fiberglass resin without the cloth. Three or four coats on the inside, and another three or four coats on the outside. It makes it almost like plastic.