We have been creating a Sensory Space at junior church relating to relevant sessions for all children attending (with initial inspiration to support children with SEND) ALL children have been utilising the space amazingly, either as a calm space, prayer, exploration etc. and in response to story (we have found it's great place for children to build relationships without business). Yesterday there was even a post it note on wall from one of the children (For prayer writing) saying "Thank you for this room"
I googled sensory spaces in church and there is not a huge amount to be honest, and I guess understandably it may be considered useful for a small group of children (which is not the case) and also generally a large budget needed. Inclusive Church blog has a couple of blog entries: Special needs ministry sensory room and creating a Multi Sensory Environment.
We have not created our environments on a huge budget, but generally by looking around for cheap items that have lights/ tackle qualities. Generally poundland (or other pound stores) and budget home wear stores. Also ebay, amazon and second hand sites (particularly if battery operated, consider safety checks here). So here are some budget ideas. If you start thinking sensory you'll find you see stuff everywhere.