The cable holder should idealy be printed with a temperature resistant and isolating material. Make sure that screws are tight before turning on the power.
The spool holder can use any cheap filament that you don't like and can waste a lot of. It doesn't matter if it warps a bit. Use a strong stick with low friction. I used a glass rod, which is probably a bad idea if it breaks, but I had some left from my dangerous laser experiments.