When this happens to me, I opt for paper, rather than plastic. I know we can debate over and over which is more "green". Here is my reasoning... Think of the three R's: Reduce, Reuse, and Recycle. (Of course the first thing is to reduce: aka use your reusable bags.) I don't really reuse plastic bags. They end up bundled up in a massive pile in our garage, waiting to be dropped off at the store recycle bin. However, paper bags are always used in our house. Why not cut it up and use it for a canvas for the little one's art projects? Of course, when you are done you can always save it, or recycle it.
(project idea for the marshmallow rainbow comes from No Time For Flashcards)