I am currently helping one of my awesome elementary schools with ideas to build a sensory room/gym.  A sensory room is a great resource for parents and schools to facilitate the sensory needs of a child in a safe way.  In the picture above, you can see this is a pretty large sensory room.  This was my gym in the first space that I leased for Learning Charms.  The gym itself was a little over 1000 square feet.  You can see the exposed steel beams in the ceiling which made it easy to hang swings.   The owners of all the spaces I looked at thought I was crazy because the first thing I'd do was get a ladder and peep up in the ceiling -- looking for steel beams!  
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 Below, you'll see a list and links to some must have's for your sensory room.  A sensory room can be small-- you just will need to be careful and follow manufacturer's recommendations about padding and clearance.   The recommendations below are for a medium sized (about a 10'x10')  sensory room for kids aged 3.5 up to school aged children.   The ideas below are all from Amazon and you can click and read more about the product.  You can find these items all over the web, so look around and find what you need/want!

Lastly,  you HAVE to supervise your child in a sensory room.  

TO SWING OR NOT TO SWING?
This will depend on if you can easily tie into your ceiling for support.  If you cannot, then it will depend on creating a structure that will support a swing (or buying one).  A swing provides amazing amounts of proprioceptive and vestibular input, so if at all possible, get a swing system.  If you don't have the ceiling support then look for swings such as below to use outdoors on a tree or existing playset. 

Our children in the Mini Charmer's Preschool class had a great time with this glue and salt art activity.  I love this multi-sensory activity, but not as much as the kids do!  First, they squeeze glue into any shape onto card stock paper.  Then they cover the glue with salt.  The grown ups shake off the extra salt and then the children use droppers to drop paint (we use water and food coloring) onto the salt.  The color "drives" up the salt path, which is fun to watch.  

Our gym activity was a new "treasure hunt" game.  The kids were divided into 3 teams. Each team had to find the same number of cones, gingerbread mean and round shapes.  These items were hiding in the gym.  It was fun to watch the kids count (they had to have the exact number of each item to win), to see who ended up to be the "counter", the item seekers, and the mediators.