Plastic. There are a number of ways you can approach this, but regardless of the method, you'll be wanting some sort of stiff, rigid plastic, as thin flexible plastic poses too many distortion problems (unless you're into such surreal effects, in which case, go ahead.)
If you can get colored plastic or theater gel, then you're pretty much set. If not, or if you want to create custom color effects, then you can use clear plastic and then color it later. A great source of clear plastic the size of your lens is actually from disposable cameras.
Color. So how do you get color on a piece of clear plastic? The crudest way to do it is with something akin to a Sharpie pen. Another neat trick is to actually use watercolor, which is easy to manipulate and blend for a variety of color effects—and best of all, easy to remove, meaning that you can reuse the same piece of plastic for different effects between shoots. If you want grainier color effect, you can draw on the plastic using crayon or pastels. Feel free to mix up your colors for rainbows, gradients, even small designs to be overlaid over your shot.
Scissors/Box Cutters. Depending on the hardness of the plastic, you'll need something to cut it to size with.
Supplies for filter mount. There are many techniques for creating a filter mount, which will vary by camera. Please read through this article on creating your own DIY filter mount to find the appropriate filter mount for your camera.