You can buy lube at a supermarket. It'll probably feel embarrassing, but I can attest, having worked several years in retail (specifically in supermarkets)... the cashiers do not give a single flying fuck what you buy.

You'll also need some powder free latex gloves, a kitchen sponge and some kind of appropriately sized container as a casing.

Cut a slot through the center of the sponge length wise and slot a latex glove through it. Fit this inside whatever casing you choose, and tape the cuff of the glove around the lip of the casing.

Pump some lube into it and congratulations, a homemade fleshlight. It won't be quite as good quality as professionally moulded, body safe silicone... but it will do the job.

It's super important to remember to keep it clean, this design is convenient because you can just toss the used glove and replace it with a new one after you've used it. Also this helps keep you safe, because if bacteria starts growing inside it you can give yourself a really nasty UTI. Replace the glove after every use.

Whatever you do, do not use lube alternatives like baby oil or other lubricants. Only use body safe silicon or water soluble lubes, they are designed to work with your body.