A left-handed bolt (For size, look at the picture) and matching nut.
(By the way you can also use a right-handed bolt if you don't have any left-handed bolts, I have used a right-handed bolt and not had any one guess it thus far. However the puzzle will no doubt work better with a left-handed bolt.)
A split washer (Notice that I split it more, see picture).
A file for metal.
A saw for metal.