I make a lot of my toys. Couple of things I've found to be helpful:
Dyes - I've used Wilton's Cake Dye as previous mentioned. BUT, ..... really when it comes down to it, it's an extra step and expense. Birds toys are dyed for one purpose .... to look pretty for the bird owner. Sorry, but the bright colors do nothing for the bird. So, why take the extra time and expense if it really doesn't benefit?
Wood - For those without a "wood source" go to Lowes or Home Depot and ask them if they have any "White - Cull Wood" for sale. NOt all the wood that comes into these big box stores is quality wood. Each day the employees go from rack to rack on the sale floor pulling off the wood that is severely warps, splits, twisted, etc... hence, "culling". They usually make small piles of the various shapes and sizes, bundle it up, and price it for sale as "cull wood". Cull wood can run from $25-$100+ for a bundle, depending on how big the bundle is and it varies daily. A $75 bundle will last me MONTHS and I a number of chainsaw birds like Macaws and 'Toos. The "white" cull wood will be mostly pine or poplar. Do NOT take anything not marked "white otherwise it will most likely be pressure treated and that's NOT a good thing for birds.
Alternative - If wood is scarce or the wallet is thin on $$ that week then find an old phone book and drill it an inch off the binder edeg, string your chain through, connect off with a ring, quick link, ..... Polly has a REAL CHEAP toy that'll keep him/her busy for awhile.
Tips - ALWAYS, but ALWAYS keep the chains, rings, quick links, etc from the toys you buy. They can be used and reused many times. You should do an inspection each time you reuse them to make sure they are still sturdy and safe. MAke sure you use stainless steel or nickel plated.