To scrimshaw, you need a scribe, a bright light, something for magnification, ink or paint, rags, wax, a computer or copier and scotch tape. If sanding anything down, you'll also need eye protection and a dust mask.
In addition to tools, you will also need something to inscribe. Naturally shed deer or moose antlers are popular and affordable choices, as are piano keys. Some more expensive options include "fossilized" walrus ivory (teeth and tusks) and legally obtained mastodon and mammoth ivory. Antlers can be found in wooded areas where deer naturally occur, and piano keys can be bought from online retailers. Mammoth and mastodon ivory can be obtained for as little as $10 and as much as $10,000 on various legal online bone trading websites.