String or twine is fine, but let me tell you about strings:
If your strings are too light weight, and too floppy, they'll tangle at exactly the wrong time, every time. I prefer something stiffer so they won't tangle as easily, and if you grab a string without looking, you'll only get one arrow.
Also, common arrow-making mistake to avoid: Arrows are required to have a 12" tail. DO NOT CUT YOUR STRINGS TO BE 12 INCHES! When you tie the strings, you'll lose a couple inches, so try cutting one at about 14" and see if it ends up at 12" when you're done. If so, go with 14 inches. If not, figure it out how much more you need from there (but 14 tends to do it).