In this video I have used one skein of white Bernat Blanket yarn. It is very soft and silky. I recommend the same size if you plan to make the same size loom. However you can use thinner yarn but make sure to draw smaller rectangle or use two skein. Also would be good idea to select colorful yarn. Even you can use two different color for weft and wrap.
Here is the link for more details on this mat: http://www.watchknitting.com/2015/06/matt-handmade-loom/