If I had to guess, I would say wood is probably the most popular material used by pyrographers. Leather, bone, and paper are also commonly used in the pyrography community. Wood seems to be more forgiving than paper. If you make a mistake, sometimes it is possible to scratch or sand away the mistake.
Burning on paper can be very challenging, but it is so nice to burn art without wood grain having a negative affect on your pyro marks. If you take the extra time to prep your paper by smoothing it out, you can achieve extremely smooth shading and line work.
Burning on paper also gives you more options when applying color. I really enjoy using copic markers with my paper pyrography pieces.
Luna - Pyrography art inspired by Nebula photos cuptured by Nasa. This commision took 53+ hrs to complete
Selecting the proper paper to burn on is crucial. I would suggest using hot or cold pressed watercolor paper. Some people prefer using bristol board. I personally use cold pressed 140 lb watercolor paper.
Burning paper at high temperatures or for excess periods of time can cause the paper to bow and warp. Taping the artwork down to a rigid board or clipboard will assist keeping the paper flat. Once you have finished your burning, you can iron your art between two cotton pillow cases to flatten your work if needed.
There is a lot more room for error when burning art on paper but the results are by far worth it. Happy Burning