I like some of the ideas I've seen on this forum for texturing walls...pva-dipped tissue paper, sand, etc. So far, my favorite is lightweight spackle. Also, MDF can be purchased at DIY stores here in sizes small enough where it doesn't too much weight to the piece...but then I don't know how light you are wanting to go?
If I remember right, I usually buy 3/16" or so, which I think is around 4.5 to 5mm. It's rigid enough, but also light enough for all of my terrain pieces, and I can fine tune rough edges by sanding or using a dremel.