Lacing Cards are a great educational tool for preschoolers as they help promote fine motor skills and visual planning, which is something that I work on with both of my boys as much as possible.
One of the good things about making your own cards is that by varying the number of holes punched you can change the difficulty level. I use less holes in the cards that I make for my little guy so it is not so overwhelming for him.
I have also made them by laminating old cards or party invitations.
We like to use plastic lanyard string with a pony bead tied to the end.