Like most parrots, conures are big chewers. I find it is very therapeutic for Bibo to have all sorts of things to chew on. Toys to hang on are great, but toys that can be ripped apart are better, and toys that can be hung on and ripped apart are the best.
But don't forget, for such a smart bird as a parrot, teaching them new things to do can be just as fun for them as a new toy! And for you, it's a good way to develop positive interactions with your pet. You may think that petting their head is all there is to it, but your bird is really paying a lot of attention to you and would LIKE to learn things from you. You are your bird's flock leader, after all! So take advantage of this and train your bird to do things that amuse you, like fetching and playing dead. You can even potty train your conure if you want to! (Click on the link to get more information about this.)
I'll add more information, including safety tips, later, but for now let me recommend Birds 'N Way's Toy Page for toy making tips.
Bibo's diary
Conure information
Parrot care: general
Parrot care: food
Parrot care: bird psychology (just like for kids!)
Teach your bird tricks