I use KGD cotton and Cellucotton Rayon pretty much interchangeably. Each has its strong qualities; both are terrific.
Cotton---specifically Koh Gen Do Japanese Organic Cotton Pads---has the advantage of being easier to work with. As Croak points out, cutting a strip of cotton from the KGD pads is a snap, and easy to replicate time and again. Cotton has no break-in period. It's neutral, wicks wonderfully, and lets the flavor of the juice shine through from the first puff.
Despite being slightly more difficult to work with and having a short break-in period while ramping up to maximum flavor delivery, rayon (in the rope-like coil Graham Cellucotton uses) has the advantage of wicking superbly, a little better even than cotton. Rayon also keeps its shape/integrity beautifully and lasts longer than cotton before needing to be replaced.
Of the many wicking materials available and discussed on ECF, KGD cotton and Cellucotton rayon remain the winners for me, running neck and neck in a photo finish.
All that is just my opinion, however. YMMV.