There's a great selection of wadding/batting at Spotlight (and Lincraft, etc), some are iron on (pellon brand I think), and others are sew-in. I quite like Warm'n'Natural which comes in different thicknesses, tho they're not really thick at all lol (and gets a little pricey). These thinner waddings are much easier to use than the poly wadding/batting which is like trying to sew thru a fluffy cloud lol.
If its just a little bag you're making then the iron on pellon might be much easier to work with and you can hoop the fabric with the pellon attached then float a piece of tearaway under your hoop to embroider the fabric. (Cut the piece to size after you've done the embroidery.)
As a 2nd thought, you can use fleece for batting, its easy to work with and pretty cheap. Esp if you cut up an old jacket/jumper (sweater to our USA friends who might be reading) or get one from the salvos (or another 2ndhand shop) specifically to cut up for batting/wadding. Theres the bonus of fleece being water repellant (to a degree) and it insulates nicely if the little bag will be a lunch bag, etc. Yeah I can be pretty thrifty sometimes but I cant take the credit for this - my daughter made a bag at school last year and instead of wadding they used a pretty nasty print of fleece for the wadding. Even old sweatshirt fabric would work as a thin batting - you know? its knit/smooth on one side and brushed/fuzzy on the other?
Hope this gets you off to a good start :) xXx
There is an interfacing called "Fast2Fuse" which is heavier than most interfacings. I purchased some, but have yet to make a bag - I am sending a link on bag making tutorial - maybe it will help.