The most common types of strips used and sold for applying over soft wax to remove it are muslin and pellon. Muslin (compare prices) is a natural cotton woven fabric and pellon (compare prices) is a non-woven fabric.
I've used both, but most of the time I prefer muslin and it's what I use at home because it's more pliable than pellon and seems to stick better to the wax, making the hair easier to remove. I've had some problems with pellon not sticking as well to the wax as it should, leaving some hair behind.
I say most of the time I like muslin because it depends on the type of wax I'm using. At times I've had issues with honey wax leaking through the muslin a bit, but never with cream wax.
We'd love to hear what type of wax strips you use and why. Please tell us in the comments below.