All new toys that are supplied in the course of a business must be marked with a CE mark (other details also need to be given).
The CE marking on a product is a declaration by the manufacturer of conformity with the law (i.e. amongst other things the CE mark declares that the toy is safe.)
If you are manufacturing the toys and selling them, then you must apply a CE mark. Clearly you must make sure that the product complies with the legal requirements that apply and be able to demonstrate this compliance.
If you are buying toys from a supplier within the EU then you should make sure that they are already CE marked.
If your supplier is outside the EU then you will need to ensure that they comply with the law and then apply the CE mark and your contact details as the importer (into the EU).