I just bought a conure, and would like to put together a parrot first aid kit

Here is a few links with a list of items:

http://realmacaw.com/pages/avi1st.html
http://landofvos.com/articles/firstaid.html

Also do your own search for 'bird first aid kit' on google. There are many sites out there, and quite often they list valuable things that the others don't.

clippers, styptic powder, a 3 cc syringe to irrigate or wash out any debris, a large soft blanket and or towel to ''wrap'' the bird in if you need to immobilize her. You will also want to have an emergency transport cage small enough that she can be moved quickly and easily if you need a trip to the vet.