Is this the picture you are referring to. You can get the balls themselves from the dollar tree. They have white ones and colored ones. I purchase my chain from
http://www.thesugargliderstore.com/ToyParts.html
. You may also be able to find chain and other toy making stuff at your local craft store.
I also purchased one already made from Animal Jungle pet store in the bird department already made up with the ball and toys hanging from it. Any local pet store would most likely have some already made. I've never seen them at Pet Smart. People on here make them as well and sell them.
My boys just love theirs. The other day I was cleaning up their cage and I pulled 10 straws out of their pouch. I was wondering where all the straws were disappearing too.