If you buy the larger sized pine shavings (not fine shavings), they don't eat them. They kind of roll it around in their mouth. Then, spit it out. They will pick up lots of things with their bills since it is the only way for them to feel things.
Newspaper can get slippery and it isn't as absorbent. I know there is a nice long thread about not using newspaper. When I had guinea pigs, I was warned about using the colored newspaper as the ink isn't good for them.

I know newspaper or shredded paper in general was the last option I would use as it wasn't as absorbent which made the pen smell worse.