I personally have not built a cage or used one, but I hear they are quite reliable. A good number of users on this site have made their own and love them.
Finding a vet is relatively easy; you can look up top under the resources; I'm spending some of my time adding some as well (I get bored at work haha).
Also.. go to suzsugargliders.com/nosewaccessories. I made 5 cage pouches and 3 bonding pouches for under $10. I know the sound of making something like that sounds horribly difficult, as a lot of items are difficult to MAKE, but these were VERY easy, just a tad time consuming.
If you look at the pics I have up on my profile the blanket and the pouches in the background *I* made from that site. It's loads of fun, really.
Toys.. hmm... you CAN check on craigslist, but I had NO luck there.
I ended up getting a couple things as Wal Mart and the rest from Clark's Pet Emporium. I don't know if that's necessarily a more local type pet shop or not, but if it is, just go to a pet shop. They're pretty cheap.
The most I spend was $13 for a 'ladder' that bends and you can reshape. I think you can also see that in a pic or two of mine.
My girls LOVE it.
I personally also use the Rep-Cal phosphorus free (pink label) and Rep-Cal Herpavite (blue label) that I got from the pet store. If you have questions and stuff while you're there, see if somebody there might be experienced, even owners of Sugar Gliders that work there.
I got lucky; I needed help finding something for a different pet of mine and figured while I had the guy there to ask for the 2 Rep-Cals; he noticed in my basket the toys and said 'you have sugar gliders', and that's when I told him I was gunna be getting them 'in an hour', when he told me he's an owner and etc.
Also, (sorry to be long winded ^_^) but the suzsugargliders website I gave you earlier also has a lot of other great tips, including feeding and bonding.
And most of all... WELCOME AND GOOD LUCK!