I use paper and then grit on top when I have to keep one in a cage for any reason. Sand OR paper or sand AND paper should both work. Sandpaper as it's sold in some stores I'd advise against just like the sandpaper rolles that get sold to put around perches. Imagine walking on abrasive every time you touch the floor!
My vet strongly encourages the use of paper. Bedding materials can harbor mold and bacteria, can be hard to clean thoroughly, and make it difficult to keep that important eye on your budgie's droppings, which are often the first (and sometimes only) indication we have that something might be wrong with them. Anything with a sand/grit texture can harm your birds if they eat it.
You can usually find newspaper for free by asking neighbors, libraries or local businesses that have waiting rooms for old editions (be sure to avoid the glossy ads, and there is some concern about colored inks, so if your budgie likes to chew on the bedding, that's something to consider). Otherwise, to avoid any concerns, you can purchase unprinted newspaper or butcher paper in huge rolls that last forever, or buy cage liners either in rolls or already conveniently cut to the dimensions of your cage.
Last edited by Cheesepusher; 04-01-2015 at 10:17 AM.