Source of plexiglass

I'm not particularly familiar with machining acrylic/plexiglass, but it is fairly brittle and may pose some machining challenges. I do know that cast acrylic is more machinable than extruded acrylic due to the residual stresses produced by the extrusion process. I believe most large sheets are cast, but other shapes are commonly extruded.

Alternatively, you might want to consider polycarbonate. It is easily machined and can be polished. Polycarbonate comes in multiple grades, includinng machine grade. I don't know if it is readily available in multiple colors, although it can be colored.

I would begin looking for plastics suppliers in order to identify sources. Since you are buying small pieces, making mail order purchases will be practical. Otherwise, I would start with local plastics suppliers.