What about tissue paper? would that work? or is it too thin?

Velum is expensive. I would buy pads of high rag content doodle paper from the dollar store. You could also use the yellow tissue thin paper you can buy by the roll at the quilt shops made especially for paper piecing. It's not that expensive and tears away easily.
Trish

go to dickblick.com and look for tracing paper in rolls. This paper is see-through as velum but a lot more affordable.

Don't forget phone book pages have print on them that might get on your light colored fabrics. Since phone books are free, they're sure not going to worry about using good inks.

Newsprint is blank so it can't harm anything.

I also use the cheapest copy paper I can find. Works fine. I use a smaller stitch so you can remove the paper easier.

You can get blank newsprint from the newspaper company free. They will give you small leftover rolls.

Don't bother. Save yourself time and money and just use regular copier paper. If you set your stitch length to 2.0, it works just fine.

I do the same

I buy it at staples.

If vellum is a must, I would suggest office supply store. Newspaper office would be cheapest for newsprint paper (end rolls type thing).