I've been experimenting with hockey tape (athletic grip tape? for those not in hockey country). It's cheap and readily available at just about any place that sells athletic gear. It's about the same width as a piece of 1/4x2 trim wood (like oak or poplar), so there's not trimming involved. The texture of the cloth gives a little feedback as you're using it, so you can tell if you're getting to aggressive or if your angles are way off. It holds compound reasonably well, and when you use one up, just tear it off and start over. I'm not 100% sold that it beats leather or paper or any of the other options here, but it's been working pretty well. The only catch is that your board has to be flat--since the tape is so thin. If you put a few layers down it has the slightest bit of give. It's still in the testing phase, but seems to work reasonably well.