I am an avid supporter of sensory play to stimulate the senses, add communication and empower choice making.  There are wonderful sensory spaces all around which can be hired out with bubbles tubes, dark lights, projectors, etc and these are all fantastic and do a brilliant job.  However you can also provide simple, sensory activities on a shoe-string budget.  I personally am a fan of the tray; putting different textures on a tray to enable safe exploration.  I tend to opt for things with different textures and or sounds to support the engagement.  I'm also a fan of lights as these can really hold the attention well.  Recently I have been putting together sensory trays that include:

• marshmallows 
• rice
• cotton wool balls
• water
• play-dough 
• plastic dinosaurs
• bells
• tin foil
• the list goes on and on

My approach is 'give it a go'!  I'm always interested to hear and see what others have been doing so please let me know.