I find that satin of a polyester blend works best. I have bought some satin like material at Joann's before, but it turned out to be Acetate and caught on fire every time I tried. You really just have to play around. Starting out I would just get 1/8th of a yard of each fabric just to test them out. Here is a helpful site I have found on fabrics and which burn and which ones just singe: http://www.fabrics.net/fabricsr.asp
I have heard that linen works well oddly enough, but I haven't tried it yet since it's a little more expensive. If you have a hobby lobby near you they run some great sales. Good luck, they are so fun!