There is an accessory set. It includes a resistance band (I already had one at home that worked fine) and a leg band that holds the nunchuck. Since I didn't have the set, I either put the nunchuck in my pocket or wore a headband around my leg to hold it. Either worked fine. The accessory set can be purchased separately if you want to spend the $.
See my reply below. IMO, you can still play the game without them if you can rig your own way to hold the nunchuck. And you can use any regular resistance bands, they don't have to come from the accessory kit.