Futons are great because 1) they're thick, 2) they're cheap (often free from vacating students or housemates) and 3) they're hopefully treated to be fire retardant, although this seems to depend on state laws, so please research this for your area!
One con with futons is that they're a bit awkward, and they're not rigid enough to stand up on their own like a mattress. Here are two methods I've discovered for mounting futons:
The first method is a hanging approach, as you can kind of see in the photo below. For that room, we sewed two loops of heavy nylon webbing onto one end of the futon, and then hung it from the ceiling joists with heavy open eye-bolts. This is great if you're trying to partition a room, but the sewing is a pain (heavy canvas) and if you need ceiling joists to work with.
Another method I recently figured out is to screw the futons right onto the wall. I simply drilled these 7" gutter screws right through the futon, using a large washer to keep the heads of the screws from ripping through the fabric. I had wood paneling to work with, I don't know if this would work too well with sheetrock (although if you used anchors it would work). But this was a really quick method, and keeps the futon flush to the wall to save space.
Cheers,
Leigh
A shot of the first method of hanging:
