A soft wood is not strong enough but almost any hardwood will do. The preferred types are probably woods that have traditionally been used for boat construction such as mahogany or oak. Mike Corcoran and I have built many rudders and below is our latest thinking. They are similar but have slight differences. My rudder is shown here.
Mikes rudder is shown here.
I believe this is the best shape for a rudder and tried to make my rudder to this shape. Station points begin at zero at the nose. You can thus use the table to scale for any width foil. Remember these measurements were made to lay out airplane wings. You can shape the whole blade in about an hour with a perfect shape.