As someone already stated, discuss with your prospective play patient about what they want in their play exam and what is off limits. Consent is super important. I also don't think you need to spend tons of money to have a decent medical play set up.
Essential basics: Stethoscope, BP cuff, reflex hammer, a rectal and oral thermometer, exam gloves, penlight, paperclip (for neuro testing), some form of cloth or flexible tape measure, and lubricant.
Extras that are nice, but not super necessary: inexpensive otoscope, wartenberg pinwheel.
Things that will require some training: urethral sounds, anoscopes
I also highly suggest just going onto you tube to learn how to do a basic examination. I think the best play docs I've had knew how to do a basic exam really well and could then build in the more kinky aspects around it. We all understand play doctors aren't professionals, but if you are half way decent with an exam, it really does go a long way.