I've used styrofoam and other foam boards.
Quite a few varities cut nicely with hot-wire tools.
Some, not so nicely
Unless one lives in the middle of the Sahara desert or above the tree line, pine and other soft woods are IME impossible to beat though when modeling small objects like an instrument.
Besides the cost, the only thing restricting the use of MDF, particle board, chip board and plywood is IME the tool dulling resins that eat up the savings in the material cost pretty fast.
Industrial modeling materials OTOH are IME very hard to get, and cost and arm and a leg.
And the left nut