If you don't mind it being a little less than professional, you most definitely can. You can use a cardboard box, crinkle paper, paper bags, untreated/unbleached paper, and other things your bird likes. It should always be under supervision when foraging in it.
I'm sure other people will come by with more ideas too.
I tried origami shapes for Percy - they are a lot of work and I fear he doesn't appreciate them any more than any ordinary old paper cup or paper bag .