I did a little internet combing and found that most people didn't like the fancier nylon or lycra bags, but had good luck with heavy or lightweight cotton, or polar fleece. I'm rather leery of lightweight cotton, seems too flimsy personally. I'm thinking of making two sets, one out of heavy cotton and one of of fleece and see which one I like better.
I'm kinda leaning towards the heavy cotton though, fleece is nice put seems awfully hot in the summer months.
Now I just gotta figure out how big to make them...I'm thinking two long sets, one for Loki and one for Divo, and one mini set for my colt to kinda encourage his little mane to put some growth in. Though I should maybe wait with him until he's less "I want to put EVERYTHING in my mouth!".