We ALL use bedding for our critters that are housed inside any structure or barn. We also pay for our bedding, but most of us try to get it as inexpensively as possible, because you'll need to budget this into your costs for your animals.
The preferred bedding is pine shavings with DE. Many of us use straw for the runs, and, if we have other livestock, sometimes we'll use hay. I think, in a pinch, I'd also substitute shredded newspaper, that is sold at Lowe's for insulation, IF I was out of shavings and straw and the stores were out of shavings.
If you have a Farm Supply store anywhere within an hour's drive, you will probably get pine shavings and DE there. If you are close to a Pet Store, you can start with a few bags from them, BUT, it WILL be more expensive, because they usually offer smaller packaging. If you live near any farms that grow wheat or oat straw, you'll be able to buy from them--they don't charge you tax.
IF your birds are over, let's say, 5-6 months old, you could get shavings and sawdust from a mill, and go cheaper, but you'll make your birds sick if there is any hardwood sawdust in it.
THE POINT IS, use the Net and your phone and list:
1) who carries what
2) price shopping (including gas to drive there)
3) is it seasonal, or available all year round? (grocery stores sell off straw after Halloween--okay if it hasn't been rained on)
You are making an investment in your animals, and "yes, Virginia" it does cost you.