Congratulations on your initiation!
I like the idea of a wooden box with thank-you letters from each of you.
If you and your pledge sisters can knit and/or crochet, how about making squares that can be stitched together into a throw blanket? When my chapter advisor was expecting a baby, a few of us knit up some squares ... twelve 12"x12" squares make a nice little baby blanket.

You could have a new member class bonding activity where those of you who know how to knit or crochet teach those who don't know how, and anyone with no interest in knitting or crocheting could chip in $ to buy the yarn if they choose to do so.