Whiteboards are nice, but suffer the same problem. I could use index cards or similar, but then I would be wasting materials every time I finish a task. I decided what I needed was something I could shift around easily, but that didn't use any consumables.
The Priority Board was born. Each piece is made from whiteboard material, with magnetic backing so it can stick to a magnetic surface (a filing cabinet in my case).
It's easy to reorganize the list at a moments notice when your priorities suddenly change:
Step 1: Materials and Assembly
Although scissors would probably have worked, for speed I used a bandsaw to cut the pieces out. I chose 3cm high and 15cm wide for each piece.
Apply the tape to the pieces. Only a small amount of magnetic sticker is needed for the back.
The tape is still quite curved after being rolled up for so long, so I weighed all the finished pieces down with a book for a while to help the adhesive stick.