First, what's a heddle? A heddle attaches your shedding device to your warp threads. They are used only when weaving tapestry and bead weaving WITH the shedding device. You will need to make as many individual heddles as there will be warps in your weaving.
What material should be used to make heddles? The thinner and stronger the string you use, the better. For bead weavers, cotton quilting or beading thread works great. For tapestry weavers, cotton crochet thread, linen warp or single-ply cotton warp works well.