I used to drive by a mill (looked like they mostly mill Douglas Fir) and get the saw dust, but it's out of the way now and I rarely manage to get over there. Before, since I drove past 10 times a week, it was as free as it gets.
Now I usually end up buying the pine shavings, although that mill is probably only a couple miles out of my way. Regardless of whether I'm using saw dust or shavings, I will thinly scatter a small amount of straw over the bedding because it seems to help keep it in place, almost like throwing a net over it. In the summer here in NW Oregon (which is dry) I also lay down emptied kraft-paper feed bags under the shavings, That way, when it's time for a change over, I can just fold over the bags and toss the whole thing in the compost pile or in the garden. Unfortunately, during our wet, humid fall, winter and spring, the kraft paper ends up too wet to hold together.