It can be made denser than the one I made, but right now it's easy to wad it up and shove it in my 3 year old's pocket.
old bike inner tube
strong thread or embroidery floss
Step 1: Cut the tube
Slice some thin rings from the tube with the scissors. The outside edges will be slightly wider than the inside. That's fine.
Snip the rings open so they become strips.
You could certainly leave the loops uncut, but I don't trust my three year old to not try to stretch them around things he shouldn't. Strips are safer in our household.