I used a jumbo straw so more things could fit inside. You'll also need a clicker lighter, needle-nose pliers and whatever you'd like to stuff in it. Make sure it's cooled before giving it to your birds (it cools pretty quickly).
You might want to let your birds see you stuff it, so they realize there are goodies inside. You can use them as foot toys, stuff them into treat cages or make them a bit longer and punch a hole in the straw to hang or attach to a skewer.
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