You can buy many basic supplies at nearby stores such as the Dollar type stores as well as craft/party, toy and seasonal isles in department stores or even in craft stores (those can be a bit pricey, but some finds are pretty awesome).
Supplies (basics) to look for for toy making at the above mentioned:
-craft lace
-pony beads & some other fancy shaped beads
-silk flowers and leaves without wire
-plastic Easter eggs, all sizes but I prefer the smaller ones
-plastic bracelets, round, flower & heart shapes
-plastic shot glasses
-straws (use with or without pencil sharpener for spiral effect)
-cover lids for tooth brushes or even those covers on pencil sharpeners
-Really, any plastics such as bowls, plates, cups, baskets, boomerang, flying rings and various containers can be used as bases for swings/play pens/toy bins/ball pits. I suggest doing a google search on sugar glider toys to get ideas of what to look for.
Check out toy or bird sections in stores as well to find items you can embellish or modify for your gliders
I also like using these little rings you can find in sewing sections or stores. I also save some smaller, plastic hanger things from purchased items.
Here are some photos of some of the things I've made for my gliders, starting with the earliest working up to later ones.
Basket, weaved with fleece
Some bird toys I embellished with craft lace, beads & fleece
Using bracelet, straws, and Easter eggs
Some I made for my "Secret Garden" theme collection (you can see the plastic rings I get from sewing stores/isles I use for hangers) using silk flowers, Easter Eggs, beads and craft lace.
Using fleece, cut into long strips and making braided vines is also a great toy.
C-links, plastic chain and some other baubles and supplies that you may not find in local stores can be found a various vendor sites that sell toy making supplies and also bird toy making supply stores online.
Enjoy! I find toy making fun and relaxing.