I have the same problem and I made a doll from polyester batting. It worked out just fine. Make sure you buy one of the thicker battings. It has to be the stuff in a roll, not polyfill or fiberfill. You can't really make the waldorf style doll in the traditional way with the loose stuff. That would only work with a doll that you are just stuffing, not shaping the head, etc.
You can also try a cotton batting. I bought some and I think that is what I will use for the next one. It feels nicer to work with. However, the thin cotton batting (like Warm and Natural) is too thin and firm. It doesn't have enough give to it. I tried to make a head out of it and it was horribly lumpy and didn't work at all. I bought some organic thick fluffy cotton batting and I think that will work much better. If you want to know the name of the cotton batting I bought let me know and I will dig it out of my closet. I bought it at a quilt show and think it may be fairly hard to find.
I have used organic cotton interlock that I bought online and I have also made a couple smaller dolls with some white cotton knit(I found it really really cheap) that I tea dyed. My only concern with the tea dying is that the color will fade eventually. I really don't know how long it is supposed to last.
Also, I found lots of nice cotton yarn to use as hair. I haven't found any substitute for the fuzzy mohair look but I think I actually like the neater look of a cotton yarn better.