In Canada we have stores called "Princess Auto" that have sprockets etc. Probably places like Harbor Freight would have the same stuff.
For the axle, decide on the diameter of shaft that you want. I used 1" which is probably overkill but the bearings were on sale and besides, I'd rather have it too strong than too weak
My previous version had about a 5/8" axle and I almost twisted it off.
The drive is in two pieces. A piece called a "weld on hub" with a hole the same size as the axle is required. It has a keyway. I have a milling machine and could machine a keyway but if you don't have one you can substitute grub screws.
Sprockets are available in different diameters. The sprocket has a hole in it that matches the flange on the hub. It has to be welded to the hub.
Hope that helps.