Sisal rope is safe to use, but make sure you're using one that's untreated. Don't get it from hardware stores. They apparently smell a bit like gasoline (I think...) because of the treatment they get. I found this site that sells some for bird toys. I have no clue if this is a good price for it or not.
I think some people also use chains, but I'm not exactly sure how.
Chains work. Just take a look at how the ones in the store are put together to get an idea of how to do it. I have some that I bought and the chins have chewed off the pieces do I need to refill them. My chins like to ring the bell at the end of the chain, though you do need to watch them, I have had some take the bell off.