Do you know a good material to use for siding a doll house?

"Balsa" wood...the kind that is used in model airplanes and boats. It is quite inexpensive, very light weight, you can cut it easily with a box cutter, in whatever shape you choose, include round scale shingles.
You can find in in arts and crafts stores.

Depending on the effect you are going for, wooden veneers might work too, but they are not as easy to cut as the balsa wood, nor as flexible.