Something our chapter (Eta Alpha) does for new members is give them a bucket with a fleur-de-lis painted on the side. Then we fill it with little things - stationary, kappa cups, a car sticker, key chain, etc. It's great to hold stuff later on too. I keep craft supplies in it, but it's a bucket. You can put anything in it. 
We also have a bid day cd that we make for each new member class.  It has lots of kappa-esque songs on it. (Think: I never saw blue like that before by shawn colvin, etc). It's awesome. It's really easy to put together. 
Good luck and have fun! 
Bonding idea - have a crafts party with other sisters who are going to take key sisters.  You get to share ideas (and paint pens 

 ) and have fun wth your sisters!