Here's a list of places to look for materials. Once you start looking, you never know what you'll find!
TOY, MODEL, AND TRAIN SHOPS
Many of the larger Toy, Model, and Train shops carry materials for making Train scenery. Look for 90degree V-shaped plastic ( strips of plastic with a Right-angle cross section). These are usually made of Styrene or ABS (Plastruct is my favorite brand). These are excellent for putting on the corners of your buildings, giving them added strength and making them look more industrial or gothic. Add Rivets to their surfaces, and you'll really have something! You may find other useful cross sections too (like I-beam), as well as narrow strips of flat styrene (much easier than cutting out your own). If you can find sheets of paper-thin styrene, pick that up too- you can cut or punch useful shapes out of it with pinking shears and hole punches. Also plastic tubing can be found, in a wide range of sizes (even interlocking), perfect for making that elaborate piping system. Lastly, HO scale Train Track itself has a use- Carefully pull off the metal rails and use them for I-beam, then take the plastic track and clip off the outer edges of the ties to make a great looking ladder!
Watch for cheap train cars (HO scale cars can be found reasonably cheap). These can be cut up for all kinds of interesting details. I like to take the tanks off of tanker cars, and cut them in half, then mount them on their ends to make standing propane tanks. HO scale trestle bridges are another great source of detail, perfect for Necromunda catwalks. HO scale track can be cut down to look like nice ladders. Ask for picket fence packs- the HO scale plastic picket fence kits make nice spiky detail for your rooftops. If you're really lucky, you'll find some O-scale model buildings that are reasonably priced. O scale is almost exactly the same size as 40K and Necromunda miniatures. These make excellent starting points, as you don't need to do any construction, and can start adding detail straight away.
Some toys are about the right size and shape for making buildings out of (one of my favorites is a toy car crusher, which I stripped down and made into a Forge by adding loads of detail bits and an industrial paint job). Just remember that a typical building should be about 3-4" tall, and 4-8" wide (a rectangular shape is best). Visit second-hand shops or clearance centers, where you might find action figure playsets or vehicles with nice detail and shape, or even cheap model kits that can supply all manner of detail (Tank kits are the best- LOADED with useful bits, especially the wheels!).
For a really nice piece of scenery, you want to work with plastic(styrene and ABS are the best to work with), either flat sheets that you cut up and assemble, or a pre-existing toy or model that you convert. Plastic is easier to cut or drill than metal, and is much stronger and has a nicer look than cardboard or foam core. Industrial supply is the cheapest source of styrene. Search the web for your location and the following: .060 High Impact Styrene sheet Sheets are usually 4' x 8'. .060 is roughly 1/16". Should cost around 15$ US or equivalent (as you can see, this is MUCH cheaper than the Plastruct and Evergreen stuff you can buy in most hobby shops).
If you can't find anything online, try local "plastics supply" places in the phonebook and ask if they know anyone in your area that carries styrene sheet. You have to network a bit, but if you live in an area near any kind of light industry, chances are good there's a plastics distributor nearby that will sell you styrene at a good price.
This might even be a good place to start your search... http://www.polymerweb.com/prof1/tocmat.html
You may also find some nice texture or detail on Light Diffuser Panels, available at most hardware / DIY shops. I even found some with a 1" grid with diamond texture inside, perfect for those 3D Space Hulk boards you always wanted to do. Be careful with these, though, they tend to be very brittle and can shatter if not carefully cut out and glued on.
Plastic tubing comes in a wide variety of sizes. If you want to model extra-huge pipes, or you need a base to make a nice water tower or sewer entrance, PVC or ABS pipe works nicely. The couplings often have interesting shapes too, so be sure to check them out. Sheet lead (the thin stuff)can also be found here- it is easy to cut and bend, and CA glue will stick it to most surfaces. Buy about a square foot of it, and cut it into thin strips which can be used to model banding and brackets around odd shapes (like pipes and beams, or even boiler and fuel tanks).
You can also make pipes for your buildings very quickly with thick solder (check in the plumbing department). The solder comes as thick as 1/8", and is easy to bend into those awkward shapes you wanton your buildings. Watch for rubber floor matting- it is cheap, and often has a nice texture (ribbed) that can help you quickly add detail to your roof or other large building areas. Window screening is a cheap source of detail too .The cloth stuff is easiest to work with, but you can find extremely fine mesh in brass if you want nice screening for vents, etc.
COMPUTER SUPPLY / "JUNKED" APPLIANCES
Electrical appliances are full of great bits, especially if they have moving parts (like a tape deck). Keep an eye on those trash bins and don't be afraid to ask "Do you want that?". You can also buy some interesting bits in computer supply stores, especially the empty cases or boxes for speakers, power supplies, etc. Wire tie wraps, switches, fans, motors, ribbed electrical tubing/sheathing, connectors, disk drive doors, even the little feet an appliance rests on can all be nice detail at the right price (cheap or free).
DRUG STORE/ CHEMISTS
Disposable razors often have nice grippy detail. Just cut the heads off(careful not to nick yourself), and glue the handles against the side ofyour scenery for that extra-reinforced look. If you can find no-slip bathtub tile in strips, these often have a nice diamond-pattern on them for extra grip that simulates textured steel plating on the upper surfaces and walkways of your scenery! Also, plastic coat hangers make nice pipes, and will bend easily without kinking if you heat them up a bit.
The greatest detail you can put on scenery is rivets. Ask for 3Millimeter diameter 1/2 round beads- they are often used for little "eyes" on dolls. (Westrim is the only brand I've seen that makes these). If you finds some, they make PERFECT rivets- just glue them on! A small bag of them costs a few pennies. You can make your own rivets by buying the smallest hole punch you can find, and punch your thin sheet styrene that you bought at the hobby shop. Then just glue these punch-outs onto your scenery. You can also use small brass nails with round heads (called "brads"), or small push pins, but these are hard to drive into plastic unless you drill a tiny hole first.
Ask for Sculpey (or Fimo or any other oven-curable clay). It's great for making detail bits like sandbags, stone walls, and anything else you can carve out of clay.
Watch for fancy paper scissors that cut out interesting shapes (like the zig-zag shape of pinking shears). You can quickly make gothic style arrow- point trim by cutting zigzags out of a thin sheet of styrene, and punching holes in the "valleys"! Then just glue your trim right onto a smooth surface like a wall or a water tower. Next, ask for wedding cake trimmings (if you aren't too embarrassed)-some of the plastic columns are nice and cheap, and can add that extra bit of gothic feel to your scenery. Ask for cross-stitch Grid (plastic)- a cheap, sturdy source of grills and grates!
Check with wood crafts, they may have little bottles, barrels, and drums sold in packs (cheap because they are turned on a lathe) that will add a lot of character to your scenery. Check in with the beads and charms every once in a while- you may find something interesting. (I found a bead store that carries little skull and crossbones charms! If you live in the SF area, call General Bead at 415-255-2323). Even plastic silverware handles may have that "gothic" shape.
GAMES WORKSHOP PRODUCTS
If you didn't get a copy of Necromunda, you're missing out on great plastic bulkheads! (You can buy a Stronghold or Firebase kit to get a couple sprues, or call GW Mail Order and they'll set you up...). In addition to just plastering bulkheads onto your scenery wholesale, you'll want to cut some up into smaller bits for more directed detail. If you are only using one "side" of a bulkhead, be sure to shave the rivets off the back side (Don't let them go to waste if they aren't going to be seen). Use a hobby knife with a chisel type blade, and push gently away from yourself. If you do it right, you can shave off an entire backed rivet, or even those cool skulls, ready to be glued onto another piece of scenery for instant detail.
Games Workshop's upcoming Gorka Morka game includes a new sprues of oil drums, gas cans and tank traps that will be a fine addition to any industrial scenery. Mordheim is an excellent source of gothic detail sprues. Be sure to pick some up before making that temple, fortress or mausoleum!
Citadel plastic shields also make a nice addition to any scenery. Even the plain, round shields are useful- glue them to the ends of your pipes to make pipe couplings (already trimmed with tiny rivets), or drill a ring of holes in the center to make a nice crank wheel for your big machinery or pipe valves. If you feel really daring, you can even cutup a Lemann Russ or Chimera kit for an arsenal of detail. Many of the newer kits come with extra bits that you can use to dress up your scenery after you have assembled the basic vehicle.
Finally, be sure to peruse the UK GW Mail Order catalogs for interesting bits... The Fantasy artillery pieces have some nice crank wheels and levers, and the vehicles have nice plates and hatches. Banner pole tops are an excellent source of Imperial icons. Don't forget Epic-many a potential gargoyle or statue there!
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