Magnifying glass. This can be acquired from a number of sources – think garage sales, hardware stores, the bottom of the drawer. It just need to be free of scratches and approximately the size of your lens barrel—check to make sure that the size is right before purchase! If there are scratches, don't try and use “liquid scratch filler" or the like—it has a different index of refraction than the magnifying glass, and will only exacerbate the problem. Also, test out the lens by just holding it in front of your camera and seeing how the macros turn out before purchase.
Old Filter. You need something to connect this apparatus securely to the barrel of the camera, and the only real convenient way to do that is with another filter. Used UV or clear filters are cheap or even free—they don't even need to be clean, as you can fix that. Ask around amongst your friends, or look through your local Craigslist.
Cutting utensil. You need something to cut through the handle of the magnifying glass. Depending on the material, a box cutter or a small saw would probably do the trick.
Sand paper. This is to make the whole apparatus a little bit smoother, more of a polished look, so it's not necessary unless you do an especially sloppy job cutting.
Tape. Black electric tape looks a bit classier, but anything will do. Some sort of tape to attach your camera lens to the filter.
Lens cloth. You'll need to be cleaning the lens during the construction process, so having one of these around is an A+. Lens cleaner might also be a good idea.