I don't know if I can help you with "cheap" lodging, but I've included a link to the Chicago hotel guide. Check out the prices. Of the hotels listed, I'd check out the Best Western Inn of Chicago (on Ohio Street), or the Comfort Inn in Lincoln Park. Any of the Magnificent Mile Hotels will be fabulous, but pricey; the downtown hotels are probably OK.
Also, here (hopefully) is a link to the Chicago Reader online:
Hope the links worked.
Good luck and have a ball!