I have been using cardboard as a filler for the Chunky Dungeons set. And when putting together building's I also use cardboard. It takes a little planning on my part but it works pretty well. After finishing the exteriors I then glue some of the Interiorworks wall pieces on the insides of the buildings. Using kabob skewers to hold multilevel buildings together I am also able to easily seperate the floors of a building to keep track of who is where. Hope to get some pictures up soon that will hopefully provide a better explanation (after all a picture is worth a thousand words).

I have been using Pasteboard which is several sheets of paper pasted together, you can get it in 4, 6, 8, and 10 sheet thickness. The thicker it is the stronger and less flexible it is. Cheap compared to artists cardboard as well.
All of my Worldworks stuff is made by printing out onto paper then sticking this to the pasteboard. It means that I can make longer walls without a join, like the entire sides of the Maiden. Much stronger and no visible joins.

With the Maiden it also means that I can print out at maximum resolution on good paper and that looks awsome!

Steve