Scenery and dungeons were created with things from the garden & plaster of paris / plasticine for the important quest stuff (like monuments / statues)
Almost all my vehicles, boats / wagons etc were made out of wood
The most fun, however, was creating the characters and monsters with cheap plastic army / farm figures and a soldering iron. It was painstaking, but meant each was subtly different physically and I could even tack-on extra items, such as weapons, backpacks, shields and such.
For me at aged 8 to 13, it was about bringing the world to life and becoming fully immersed in a beautifully rendered environment and a painstakingly planned quest / story - whilst following the rules laid out.
Although this wouldn't work for massive combat like 40k - I never did understand why people would buy rows and rows of overpriced, cheap (And they got cheaper and cheaper quality) 'models' and line them up in crappy sub-hornby-style environments.
For me, they brought only a loose world for my imagination to sculpt and I loved it. I was hooked on their writing from Deathtrap Dungeon FF days - but even as a young child never subscribed, nor could afford, the model side of their business.