I'm a basswood fan. It weighs only a bit more than balsa, definitely a lot less than plywood, and sands a lot easier than plywood.
For all my kit builds, I've stopped using the balsa fins and started using basswood, using the kit fins as a template.
The other thing is, basswood won't seriously change the CG of most low- to mid-power kits, but plywood can get heavy, and i would definitely check the CG and CP of a rocket if you are using plywood. For lighter weigts, you can use thinner plywood, but then I would be concerned about warping.
I haven't had a chance to launch much, but both my Quest Big Dog with basswood fins and my Estes Leviathan that got kit-bashed into a 3" Goblin, that I built with basswood fins, flew well last weekend (the Big dog with an E30 and the Goblin with an F50). I used basswood with the Leviathn=>Goblin esp. because plywood fins were going to be very heavy, and I wanted to make sure the CG stayed ahead of the CP on that thing.