Pine pellets/ horse stall pellets are fine and awesome, hah! I should be a spokesperson for pine pellets at this point, recommend them to everyone who asks about litter on this forum.
Untreated pine lumber is also fine to use for pens, but actually I think building something out of wood might end up being more expensive than x-pens. If you buy them online vs. at a pet store, x-pens are pretty cheap these days (~$35-40). I built my buns a condo out of NIC cube grids, which I like because you can reconfigure them however you want if you need to rearrange things. For example, if you ever plan to bond your bunnies, you can build two smaller cube condos to start, then recombine them into a larger one once they are bonded.
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The answers provided in this discussion are for general guideline purposes only. The information is not intended to diagnose or treat your pet. Seek the advice of your veterinarian or a qualified behaviorist.