The cheapest and fastest way to create prototype quality Setters-type roads?

Go to a craft or home-supply store and buy rolls of duct tape in the colors you want. (You can get it in a wide variety of bright colors.) Go to an office-supply store and buy a box or two of paper clips of the length you want for your roads. (Settlers roads are shorter than standard-size paper clips, so you may want to look for a smaller size.)

Now tear off small strips of duct tape, and wrap them around the paper clips. Presto, each paper clip is now a colorful road!

This takes a little effort but is fairly cheap, especially if you make more than one prototype. (You will never need to buy more duct tape!) I've used it to make "roads" to use as connections in a railroad game, and again in a space game. Not good for production, but fine for a prototype.

You can get square rods of balsa wood at craft stores like Michael's. I know that the Michael's near me has balsa that exactly matches the width and depth proportions of the settler's roads. Then, you just have to cut the lengths you want. It is pretty cheap and probably less work than the paperclip and tape thing. Although you probably will want to get a small-toothed hobby saw which can cut the balsa efficiently without mauling it. Michael's sells those too, but they can be a bit more pricey. I think you can print 40% off coupons from the micheals website.

(I assume that other craft stores, like AC Moore, should have comperable inventory, although I haven't checked. Just in case you don't have a nearby michaels).

On a side note, they also often have pre-cut wood in various shapes in the wood-crafts section which can be used for tokens or whatnot if you are looking for other pieces. These are moderately priced, so if you need a lot it can get prohibitively expensive, but if you just need a few, it isn't bad for quick prototype pieces.