I have a pellet stove, and use the empty wood pellet bags. Another great source- if you have a boat marina nearby that stores boats for winter, every springwhen the boats come out of mothballs they remove all that shrink wrap plastic from th boats. It usually ends up in teh dumpster, but if you ask them, they will give you all you want. Its heavier shrink wrap than is used for furniture, a couple boats worth will pack a bag target nice and tight.
I have 2 bags in my basement that we pound the daylight out of all winter, and I re-use my stuffing. Pack it as tight as you can, cut big pieces into smaller ones as it packs better.
Just dont shoot 'em with broadheads, you'll never get your arrow out.