The exact material list will largely depend on your site. Modify this list to meet your needs. The most important ones for building on a set of stairs are the four Ps...
- Plywood - You need some rigidity and a little flexibility. Not too thick, not too thin. Goldilocks would pick this thickness. Somewhere around a half inch should be about right.
- Padding - I was very lucky to have interlocking closed-cell foam pads that are about an inch thick. You could use carpeting, carpet padding, camp mattress pads, the interlocking alphabet children's mats... With some time you can find something and with a budget you can buy something. You also may need some padding with some higher friction to get people to stop; like an old mattress.
- Pool noodles - small, giant, LED lit, glow in the dark...
- Plastic sheeting
- Garbage bags
- Hose and water