We use wood pellets with our girls. We soak them as you would if using them in a stable (I was a groom for years) and then have a hay corner. the girls love it, its SO easy to clean out and a 15kg (dry weight) sack, which costs around £5/5.50 (Approximately 8-9 usd) lasts us at least 3 weeks.
We spot clean the poo's daily, and take the wet out every other day, mix the bed up again and away we go! We tend to add about a saucepan full of soaked pellets when we mix the beds up on the 4th day, and do a full clean out every 10days or so - just so the bed doesn't get dusty or fusty.
Hope that helps xx