first- I use masonite that is readily available at the big box hardware stores. It comes in big sheets or half sheets for under $5. Here are some that are kicking around my studio -
Ive got a guy (thanks Dad!) who cuts them down to whatever size I want on his table saw. You can also cut them with a box cutter and metal ruler - it just takes alot longer.
here is a stack of 10"x10" 's
after that I sand each one down - usually with my palm sander but regular sand paper works just fine
next they need to be coated with a gesso - this is to make a nice ground for painting and is crucial for keeping the oil paint from seeping through.
after one coat of the gesso - the panels get sanded again and another coat of gesso goes on.
I almost never paint on plain white so the last step is a basecoat ... almost always orange or red. just cuz.