So the conure brigade is really into preening and shredding toys. I like to DIY to be frugal, but I'm trying to think of a variety of different materials that would work for this sort of toy.
My preener loves, loves, loves this [ame="http://www.amazon.com/dp/B008RQ5RVQ/ref=sr_ph?ie=UTF8&qid=1409850547&sr=1&keywords=carefresh"]colored crinkle paper[/ame].
I don't have Conures, but my guys LOVE shredding anything which is 'wicker basket' textured. Easily shreddable yet has the "CRUNCH" that they love.
Cardboard box material is another one. I bought a toy last month that had corrugated brown cardboard. Raven and Griffin worked at incessantly... I had to tell them 'ok guys, enough for now' and had to get them to eat. Lol - like kids on a computer game!
Balsa wood. I even love the texture of this myself! I should just buy some for myself as a stress reliever lol... It's fun to dig even short fingernails into! Because it shreds so easily, it doesn't last very long which is the drawback of Balsa.
Also Yucca... Birds absolutely love it. Inexpensive too.