I've built many light boxes over the years. Best material to use is thin cotton or similar as it resists the heat from lights behind it. If you use paper or tissue paper it can start to singe.

You can also experiment with colours by using coloured gels over the lights. Also using daylight bulbs is better as it produces a purer light, or LED lights, but I've not tried those out yet myself.

Marco photography definitely is a great thing to play around with.