Supposing that it as alright to play with flexagons just because they are fun to play with, here are some suggestions for getting started.
The historical approach is probably the best way to start, because it was simple and led to a succession of discoveries as more and more experience was acquired. That involved trimming a strip off notebook paper because of the difference between british (probably european A4, maybe something more distinctively british) and american (letter size) notebook paper.
It is easy to take any sheet of paper cnd cut off strips, but getting a roll of adding machine tape will give a strip as long as you want and of a convenient width. This works pretty well for making triangles, either equilateral (sixty degrees) or right isosceles (forty five, forty five, ninety). It is important to back-fold the paper, getting a fan-fold stack of triangles, rather than to fold it over, scroll style. That wad gets thicker and thicker, and it is hard to maintain the outline of the triangles. Also, starting with an approximation to sixty degrees is self-correcting, and after two or three folds, the triangles are pretty regular. With care you can also get good forty-five degree angles.
Later on, other polygons will make their appearance, and for those it is easier to prerare a sheet with a drawing program and print out copies as needed. But that comes later on; don't worry about it at first.
Eventually edges will have to be joined together, which could be done with scotch tape or masking tape. That was a good idea when we made flexagons out of IBM cards, but working with paper it seems better to include an extra polygon at the end of the strip, overlap it with the first polygon and paste them together. Here there is a glue stick made by Henkel called Pritt which we use almost exclusively. Stationery stores or school supply shops in the United States surely have something similar. Obviously dry glue has advantages over wet glue, unless the latter is quick-drying.
You can crease paper strongly and tear it to get lengths you want, but having a nice pair of sharp scissors is quite convenient. Later, when cutting sheets of preformed polygons, they will be essential. By all means get good scissors, you will enjoy their feel as you cut things up. But, school-supply-shop scissors will do if none other are handy.
Those are the essential supplies -- paper, scissors, glue. For marking faces, it is more elegant to color them, but mathematically it is better to number or letter them. That can be done with any pen or pencil. Still, decorating them is something that you will eventually want to do, and almost any coloring medium will do. Among school supplies, a box of Crayolas works out well enough, but the Crayolas we get here are too waxy and don't smooth out well enough, and to get a good effect the colored area has to be rubbed with tissue paper or a cloth. There are some better japanese crayons, and we have also used pastel chalk.
Colored pencils work well, but coloring large areas requires quite a few strokes. It helps to choose pencils with thick leads. Still, pencils come in a wide variety of colors, which is often nice. Finally one can think of Magic Markers, which we use quite a bit; again multiple colors are available. Better to use water based ones than spirit based, mainly because of the fumes. But since the coloring is optional, one can wait until one has some flexagons and then experiment with different media.
As for non-essential supplies, it isn't a bad idea to keep some paper clips of various sizes or spring clips, to hold things together while folding them. But those are optional things that may come to mind while you are working along. There is also a question of what to do with the flexagon after you've made it. That is one of the uses to which we put our large collection of cookie boxes. But photo albums with slots of a reasonable size, or just large envelopes, possibly bound together in a loose leaf notebook, serve the purpose. The main thing, is that once you get inundated with flexagons, you need some way to organize all the mess.
So much for materials. The first exercise is to put together a strip of ten equilateral triangles, fold it around into a hexagon, and secure the ends to get a ring of nine triangles. If the over-and-under sequence is done right all the way around, there will be a hexagon with three single triangles alternating with three double triangles which are hinged together and result from the folds that were made. Nine triangles in total. Six sides visible on top, six on the bottom, and six hidden from view. For a total of eighteen; which is nine triangles with two sides, a top and a bottom.
Two origami terms are convenient; mountain-fold and valley-fold. It will be seen that the hexagon can be folded about some axes. The simplest, but wrong, way to fold is to fold in two, getting three triangular pieces on top of the other three. The correct fold is in three, where alternate edges go up and down (folding in two, some edges don't get folded). Now, looking down upon the figure as it lies in a plane, a mountain fold is to raise an axis up toward the viewer, as though to form a mountain. A valley fold is the opposite, to move it down. Mountains and valleys need to alternate.
Folding two instead of three is the most common mistake which beginners make.
Once the hexagon has been folded up into a three-bladed rosette, it can be opened out again, either by undoing the original fold, or by separating the leaves from the bottom of the symmetry axis. That is what is called flexing, and should be practiced until it can be easily and quickly done. Also notice that there is a natural position for the fingers while this is done, which calls for minimal or no rotation of the flexagon. Finally note that from some positions, a valley fold can be made, and from others a mountain fold. Later on, with more complicated flexagons, both are possible, but for now, just the one.
If you already have done all this, excellent. Otherwise, practice it and wait for further instructions. To anticipate them, try doubling everything first before making the hexagon.