My (physical) prototyping philosophy is to use materials that are fast, cheap, and durable. To that end there are a few techniques that I use that streamline the amount of supplies I need to prototype. Here's my basic supply list:
Cereal boxes—Cereal boxes are OP. You can cut them with scissors, draw directly on the unprinted side, sticker them up, etc. When I need a board with a backing, I reach for cereal box cardboard. Also, I don't need to store very much, because in my house cereal boxes are constantly moving from the pantry to the recycling bin.
Full Sheet sticker paper—Print on it, then stick it on what can't fit in your printer. I use it most for tokens and boards. Buy in larger packs or it gets expensive.
Sheet protectors—Transparent pockets that you can slide paper into. Great for simple boards and for keeping sell sheets and rules together. Also good for organizing print and plays.
Winks—Old school tiddlywinks were more robust than what you can get today, but either are great for tokens. I have a Singer sewing supply box full of winks.
Cheap card sleeves and playing cards—I don't bother with nice sleeves. Get some playing cards from a thrift store and the cheapest sleeves you can find.
Plastic centimeter cubes—A 500 piece set of cubes that are various colors but all the same size is worth having. I usually switch from cubes to tokens during the design process, but I still get a decent amount of use out of these.
I also use scissors, printer paper, a color printer, markers, pencils, note cards and dry erase markers, but that's about it for most situations. I also sometimes use dry erase cards and boards for early game ideas, but I have reservations about it. Some game ideas get shelved in that stage and my dry erase components slowly disappear until I upgrade my prototype or decide to disassemble it. Note cards or blank cards (picked up from an Unpub event) are cheaper than eternally buying more dry erase components. I'll write on note cards in pencil and erase it when I have better components or when I disassemble the prototype, so it isn't all that wasteful. I should also mention that I have a policy of not plundering a functional game for bits. If I come into possession of a game that I don't care for, I will give it away if it is still playable (standard playing cards are the exception). However, I have helped clean out old busted games from the homes of two relatives, and the ones deemed unplayable were fair game. Using parts of an otherwise playable game seems wasteful to me. I do use components out of games I own for solo playtests, but I return those bits when I am done with them.
I have a few favorite methods of making components.
Boards—For boards I either print on printer paper then stick it in a sheet protector or I print on sticker paper and adhere it to cereal box cardboard. Which method depends on how much abuse it needs to take and how confident I am that the layout won't change. Sheet protectors have the added bonus that you can mark them up with dry erase marker to test changes without drawing on your board.
Dials—I recently needed to make dials for a six player game. Cereal box cardboard works here as well. You could sticker it, but I drew numbers directly on the cardboard. I can add stickers later if I need it to look nicer. Here's my secret component hack: brad paper fasteners. You know those two pronged, gold things with the round heads? You can buy them in boxes of at least 100 from any office supply store (or Target, which is where I found some). They are about a third the cost for the same amount of plastic screws through the Game Crafter.
Tokens—Sometimes I punch out cardboard rounds for tokens, especially for games I'm not sure will make it to playtesting. But my preferred token method is printing icons on sticker paper and adhering it to winks. Winks are durable, make the tokens feel a bit more polished, and don't have to be cut out.
Transparent cards—I already like card sleeves for regular cards (although I use unsleeved card stock in certain cases). You could use really robust sleeves as transparent cards, but I prefer cheap sleeves and cut up transparency/acetate. I sticker then sleeve the acetate. This protects the sticker bits and means that if I need to replace a sticker I don't risk tearing the sleeve. Not a great method for large format cards with layered art, because the added layers per card make the stacks get cloudy even at three deep.
I have a craft supply box full of other random components I have collected in the last four years, but I tend to only dive into it for first player tokens and the occasional standee. If I decided I needed the shelf space I could easily downsize to the materials I mentioned above in this post. I certainly wouldn't buy anything not mentioned in this post unless it was for a specific game I was working on. I have sworn off buying interesting tidbits for the inspiration they could provide.
ShippBoard Games is a board game design blog that updates most Mondays.
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