Nitrated cotton paper is best and most authentic. It will completely burn up, and will not leave behind much residue at all. Less chance of leftover burning embers, and you can shoot longer without the cylinder and barrel fouling. Using "water glass" (sodium silicate) as an adhesive is also historically accurate and very good performance, since said substance is readily flammable and burns clean.
Using cigarette paper though, is the most modern way. Not bad, but not as clean burning nor is it authentic, if that matters to you.