I was cutting foam for a weather-seal for a custom enclosure and noticed that this foam melts quickly and produces very-little to no smoke (it melts fast enough to get out of the way!).  I now use it for calibration instead of thermal paper because it doesn't make smoke if you get the power level wrong (as an example, the holes below were done with 50% power -- that would definitely smoke your mirrors if you used paper [thermal or otherwise]!).

 
Some holes on the 2nd mirror (eg, for first mirror alignment).

A roll: http://amzn.to/1SoIvE2 (not prime)
Sheets: http://amzn.to/1VP4nvb