What can I use for an antenna?
Solid core wire of the correct length will work fine for your antenna.  The hook-up wire from Sparkfun looks OK.

I have done exactly the same with an RFM12 before - I assume you are using the version with pins which has a hole on the PCB for the antenna wire. Here's a picture of my setup, on the left a PCB with rubberised antenna and on the right a breadboard with a small wire whip: