Shogi set(board and pieces) made of paper is the most reasonable or almost free shogi set where you can play a face-to-face game with your shogi friend. Here are some information of obtaining such ones. If you don't have a shogi set, how about owing it on this opportunity?
パズルランド(Puzzleland) has PDF files for papercrafting shogi board and pieces by yourselves.
Gene Davis offers a board and 5 types of Print & Play shogi pieces.
Shogi France offers Print & Play minishogi.
Shogakukan(Publisher of manga "Masaru no Itte") offers paper shogi board and pieces with the character of Masaru.
Kousaku offers paper sohgi board and pieces.
Shogi Set(This link was added on September 1, 2008)