Just thought I'd drop in and mention that you don't have to pay $2-3 apiece for pirns! I tried using a paper quill as a pirn and discovered that it works just fine - you just have to be careful when building up the mound at the back of the pirn, so you can get that nice cone shaped winding on the rest of the pirn.
I started out using heavy watercolor paper, but quickly discovered that plain white paper (letter size), folded in half and rolled around a cheap ball point pen, works just fine for my Schacht shuttle.
This is a great discovery since I use a LOT of colors! Now I can have one pirn per color without breaking the bank. :-)