Before reading on, you might like to look at the sets I've put together for Cavalier Chess. Chessvariants.com has some photographs of these.
For the main pieces, use regular Chess pieces, but for the Cavaliers, use Knights from a smaller Chess set. Four smaller sets, all of the same make, will give you enough Knights to use as Cavaliers. My own Cavalier Chess set is pieced together from one set of large pieces and from four sets of medium sized pieces. I got my four medium sized sets at Big K-Mart for only $1.99 each, and I bought the large set used for only $3.00.
You can draw your own Cavalier Chess board, piece one together from tiles when you need it, or modify a Chess or Checker board. The Cavalier Chess board is checkered with light and dark squares like a Chess or Checker board, but one set of squares, either dark or light, alternates between two different colors. The board used with Zillions alternates between green and blue for the dark squares. This color scheme is designed to fit with the piece images used on the computer. You do not have to stick with it for other Cavalier Chess boards. The color scheme I recommend for an actual board is use orange and red (or red-orange) for the light squares and black for the dark squares. Red and orange should alternate from row to row, but not within rows. All the light squares in one row should be orange, all the squares in the next row red, and so on, alternating between red and orange.
Here is a diagram to illustrate what an orange, red, and black board would look like:
For more on making boards or using tiles, consult my Chess Construction Set page. To modify a black and white Chess board, color the white spaces orange and red, as they are in the illustration. To modify a black and red Checker board, color the red squares in every other row orange.