Lava rock will work just fine, and it's usually a LOT cheaper than commercial "bio media". Just give it a good rinse before putting into the filter, as it can get a bit dusty in the bags.
Lowes & Home Depot usually sell smaller bags of smaller pieces, but if you can't find that, just use the normal chunks, like that used in grills. I got 2 bags of it for $1 each & just broke it up with a hemmer & chisel (easily broken up).
Lava rock & Poly-fill floss from Walmart make excellent CHEAP alternatives to the expensive commercial products.