I suggest individual sheets of scrap paper because it's easier to organize them later. YOu can just stack them into their categories. That ability to easily categorize and organize the thoughts is critical to not feeling overwhelmed. It's a lot easier to say I have a one inch stack of stuff I have to do already this 3 inch stack must go into someday/maybe.

To avoid wasting paper you can use smaller sheets if you can write cleanly

I've actually done a mind sweep and used up an entire pad of the David Co.'s notetaker wallet paper.