Hi Mousey and welcome!
I have never had mice (only rats and gerbils) but I at least wanted to say hello and let you know that this is a great forum for information on mice and rats. You will get some good posts from people soon about this topic, I am sure.
What I can tell you, is that sawdust is never a good bedding for any small critters. Don't pay much heed to what petstores do as they can be notorious for not knowing what the heck they are doing with their lil furries. Low dust bedding is always a good choice, such as Carefresh Ultra. I find Carefresh bedding a bit too dusty for my rats, since rats have very sensitive respiratory systems, but I always used Carefresh with my gerbils and it worked great for them. Absorbant and soft for their footies. Not sure about shredded paper as it might not absorb urine as well as other beddings.
Definitely let your mice adjust to their new surroundings when you get them home. Transitioning to a new home is a scary thing for any animal and they need time to get used to the new smells, sounds and surroundings. If you just leave them alone for a few days and sort of observe them from afar and talking gently to them to let them get used to you, you will give them a chance to settle in, get used to their new mouse house and relax a bit. They will start getting used to the sound of your voice and your movements, etc. No need to rush into trying to pick them up or handle them too soon. You can just slowly start after a few days by doing slow movements around them, such as maybe putting your hand, palm up, into their house to let them smell you and see that your hand is not a threat. A treat in your hand helps too of course!
Yes, there are tons of homemade mouse toys that you can make with things from around the house! The easiest basics of this would be general things like a clean, empty square tissue box, toilet paper rolls, things like that. There are tons of sites on the internet you can search on for homemade mouse toy ideas. I have noticed that the toy ideas for mice are so similar to hamster and gerbil toys, so you can use any of those. Even some rat toy websites too!
Always remember that your mice will need some sort of nesting box/hidey hut that they can go into to get some privacy and napping time, when they want to have a safe enclosed place to hang out. Again, a tissue box with little doorways/holes cut out for exit and entrance are great. Of course pet stores always carry hidey huts too, usually made of plastic or wood. But you can always get by with cardboard boxes for them from home.
Also, for nesting material, yes, paper towels, paper napkins and things like that are great. Your mice can shred those up and make nice nests for themselves. Make sure any paper materials you give them for nesting are the kind without inks or dyes.
Whew, these were just a few things I thought of off the top of my head. Hope it helped a little bit? I am sure you will get some great advice here from mice people on the forum. Don't forget to do some internet searching for any questions you have too. You can even check out the AFRMA site too (American Fancy Rat and Mouse Association).
Welcome to the forum!