I'll show you something amazing I found online: a bird play gym. It's not that hard to build!
Start by collecting some safe parakeet toys, and use wooden perches that the budgies can gnaw. They love gnawing and it's good for their beaks. Include a bathtub, so they can have fun splashing around. Make sure the toys can be attached and detached easily, so you can swap them every now and again.
DANGER: avoid sharp edges on the wood and toys, and don't use toxic glue or other products that are harmful for budgies.
for more information: http://www.lisashea.com/petinfo/gym/