Veneer didn't work for me when I tried, it was brittle. 1/16 or 1/32 ply works really well, you can find it at a hobby shop (it is used in model making). I have a hobby shop much closer and with better hours then a lumber source.
I have also made a few bookmarks by gluing pieces together to form a block then taking thin slices off with a band saw. I didn't cut anything into these, but the looked cool with stripes of different wood. 1 lesson I learned when doing it was to flatten the block after each slice. That way each bookmark had one flat side and 1 that was a little wavy from my cutting, only one side to have to fix.
MrsN