Just go to your local arts and crafts store and buy ribbon or cheap material. I get mine from Walmart. I always get the 2 yards of the fabric that's on sale for $1 a yard, either 1 yard of 2 colors or just 2 yards of 1 color. Cut it into 1-2" wide strips, and you now have mane rolls.
Or you can buy this kind of ribbon:
I just got 4 yards (2 red and 2 green) for $2 from walmart since it was like $.30 a yard.
I haven't used the ribbon yet, so I don't know how it will work, but I figure as cheap as it is, even if it doesn't work, it's no big deal.
But try to find stretchy material, that works the best.
edit: Forgot to mention: If you want 2 different colors, just tie the ribbons together, or if you're good at sewing, sew them together to make 1 long ribbon.