I usually use pillows and cushions found around the house. I find the seat cushions from some of my mother's couches to be the most useful- they provide a large and stable frame for me to work around. Smaller and fluffier pillows line the outside, as well as barricade the structure's entrance. It is important to clearly state your newly formed structure's rules; a clear, firm message like "No Girls Allowed" should be written on a piece of printer paper affixed to your structure.
Here is a picture for reference: