We have been to several places over the years that have den building activities.
One being Greenwoods Forset Park in North Wales
We now have a large enough garden and even use of a field behind the house to do our own den building.
Lots of branches (from very helpful tree surgeon)
Tarpaulins (some from old market stalls)
Old inter tubes slice in half and cut into usable pieces (are great for tying branches together)
natural string for tying
Teepee style den
This one is built between two trees.
or you can build two A frames and a long branch between the two.
I don't think I need to explain this any more, just thet them go for it!!!