While making the round weaving for the how-to, I found myself fed up with weft bundles, and decided to make a little bitty shuttle out of cardstock.
My most convenient source, one that's a good size for this and means minimal waste, was a business card from my good friend at Tormented Artifacts. (I always carry a bunch of these when I wear a piece of Dmitri's work, because I always get compliments. So I had plenty. Seriously, go look at his stuff, he makes my ritual masks for me.) You can use any heavy cardstock you have handy, though.
And I just trimmed it into shape like so:
And wrapped thread around it:
Eventually, as I got closer to the edge, I found even that too large, so I made another out of half a card, and that worked admirably.
Ta-da! Simple and cheap.