Quantity   Component name
3 × Dielectric This can be anything non-conductive. I've experimented with rubber and polyethylene so far. Considerations should include price, availability, dielectric strength and the dielectric constant of the material. Dielectric should be larger than the conductors. You'll need at least a top, bottom, and middle piece.
2 × Conductor I've experimented with strips of aluminum foil and aluminum (?) metal tape so far.
2 × Wire Leads Always need some leads for your new component!
1 × Electrical tape To keep the wound capacitor together.