You can use anything you like, but best to try to have all with the same kind of 'give' in the yarn/thread/string.
If you're using wool, try to find worsted wool. That's wool that has been spun with the fibres all running along the length. Knitting wool is soft and airy because it's spun from a mass and the fibres aren't sorted to only run parallel to each other.
It'll work if you use all the same kind of yarn, but knitting wool stretches more and that screws up your tension on the braid.
Lidl's on occasion have packs of Sock Wool, and it works really well because it's meant to be hard wearing and not pill.
It's fun to make tablet braid
fun playing around with the designs and patterns and colours.
Best of luck with it
M