New stick-on telltales can be gotten almost anywhere, even West Marine stores. These are the red and green wool yarn telltales with the sticky circle that work well on the luff of the sail, particularly the jib.
Leech telltales for the main are just rip-stop nylon stripes, usually off-cuts from making spinnakers. Rip-stop nylon is commonly available from fabric stores like JoAnn Fabrics, but I'm not sure if it's lightweight enough for telltales. It's probably best to cut with a hot knife so that the edges are slightly melted. You could heat up an old paring knife (with wood handle) with a propane torch to make the cuts. Mine are getting kinda fuzzy on the edges, so I was looking at them a bit last night. They seem to be sewed into some webbing, and the webbing is then sewed into the leech of the sail. I think I could re-do them using a Speedy Stitcher or other awl-type sewing tool. Of course, on my other little boat, they seem to be just sewed in sandwiched in the layers of sailcloth that make the batten pockets.
You can make shroud telltales out of magnetic tape. I head that 8 track tape is the best, it's thicker than cassette tape. This time of year is ideal to find yard and garage sales where people are trying to sell 40 year old 8 track tapes

Take a stainless steel split lock washer with an inside diameter slightly larger than your shroud. Wrap electrical or rigging tape several layers around your shroud at the level you want the telltale. Tie the magnetic tape strip opposite the split. With pliers, spread the split enough to fit over the shroud, then bend the split back together again. Wrap some more tape about 1/8" above the washer. You need enough tape build up to prevent the washer moving up or down past the tape. Now, you have a very nice pivoting telltale which will indicate which direction the wind is coming from. Keep in mind that this kind of telltale reads opposite a masthead wind vane. Also, keep in mind some people just tape the telltale to the shroud. But where's the fun of a project in that? Also, some people use red and green wool yarn for shroud tell tales, but I have found most commonly available yarn is acrylic, and doesn't seem to be as pliable as wool yarn. You might have better luck finding wool yarn at a big craft store that has a sizable knitting/crocheting department. I bought acrylic yarn at Walmart last year, and I'm not happy with it.
Hope this helps,
Brian