I use cellulose papers and a thumb roller. The cellulose jays tend to burn longer than standard paper.
Technique that works, that I use to make a jay last longer.
After I grind my weed up, I leave it in my grinder, cup it in my hands and blow hot air on it for about 45 seconds to a minute. It moistens the weed to give it a slower burn. Using this method I can make a jay that would burn for 10 minutes burn for 15-20. It also doesn't burn as hot due to the extra moisture content, so you get a smoother smoke that isn't as harsh.