Begin by making a list of the props you will need to make versus those you have or can gather or borrow. This list will further determine the things you will need. A hot glue gun is a necessity and should be also kept back stage during the show for any necessary repairs.
Make a drawing of what the item should look like and determine what it should or could be made out of. Would a wand work better with a dowel rod and cardboard or could you use a glass curtain finial and decorate it with ribbons and glitter?
Run your ideas past the director before constructing. He may not like the vision you have and you don't want to waste your time.
Shop around for parts and pieces that can be used, such as the glass finial for a wand. Think outside the box. A rubber ball covered with pushpins and glued to a dowel rod would make a good mace.
You will need to know how to use certain tools or find someone who does to add to your crew. Woodworking knowledge is a valuable asset.
Consider the safety of the actors. If a sword is to be used and you do not have experienced swordsmen on stage you need to be sure the sword is blunt. Wood is a good choice for this. It would then need to be painted to look authentic.
Pay attention to how the prop is to be used. While a decorative mace could be glued together, one that is used should be made with sturdy materials and screwed together firmly.
Remember that this is a stage prop. It needs to look good from the audience, not up close.