A while back I found a great deal on those expanding Jiffy pellets at a hardware store, or Lowe's. I think I picked up a thousand of them for, like, $25. I'm not a big fan of using them for seedlings, but it's the only way I know how to clone. I've never used rockwool before.

Remember to squeeze out the excess water from them after the initial watering, like Stinky recommended, and keep a close eye on them so they don't dry out. This won't be as much of a problem as long as they're kept in a humid environment. (If left outside of a dome, they seem to dry out ridiculously quick.) When you're ready to transplant, I've also noticed that rooted clones seem to get a slightly quicker start in soil if you take the net covering off of the plugs right before planting into soil.