@Teamonger Great to see you got the untreated lumber, as the treated variety is unsuitable for
any living creature. The suppliers use formaldehyde and many other highly toxic chemicals in treating it for weather resistance, and those chemicals do not dissipate with time (at least any that would be noticed for several (5 to 10) years and still would be toxic) - any such lumber would poison and kill your pets.
Typically wood cages are painted with latex semi gloss paint (as flat paint is worse than bare wood for cleaning, and high gloss makes it shine off light at the observer) - or it can stained and then varnished is applied. With either it is recommended to let the new setup dry for at least several days for the fumes to stop and clear, longer if you have the time and are patient (a week or more), but once they are dry they become inert (non toxic) and should be problem free.
The only issue was lead-based paints that was removed from stores back in the 60s/70s, so unless you get some old paint from your grandpa's basement you want to use, it should not be a issue.
To read more about methods of coating the wood
read this forum topic full of ideas and responses, and
another idea using plastic here (step 7). To find even more about it search with Google or whatever and use the search terms
diy or
homemade followed by the terms
wood reptile cage (the more commonly found examples).
Speaking of which, for some basic tanks designs and assembly ideas, you can view some guides.
Here is one,
another guide,
and another - if you search Google or click on the forum section links it will lead to more than you could likely ever read.
Below is a photo of the very first tank I made for my first mantis pet (Susanna (Stagmomantis carolina)) -
I made it the same day I rescued her. The top and bottom are plywood with a 2x1 lumber frame the lid fits into, and the side pieces were constructed of as well. I used fiberglass/plastic mesh to enclosure it all, and anchored it in with staples from my staple gun. The lumber I assembled with wood screws only. I would change many things about it if I made a new one now, but it worked great and my first mantis loved it.
You can see her barely in the very middle escaping from the empty soft drink cup I caught her in.
It actually was just bare wood, and I never encountered a problem at all, likely as there was no water standing in the bottom, and the mesh allowed for great ventilation drying it quickly. I still use the tank occasionally too, mostly as a breeding tank so the males have plenty of room to escape and hide.