I posted this over in Paper-Making 101, but I glanced at some of the buildings and found where things were (at least on my world's save). Basically speaking, instrument piece wise it looks like they could be made from the following:
Glass (Glass Furnace), Ceramic (Kiln), Metal (Forge), Stone (Mason's/Craftdwarf's?), Leather (Leatherworks) and Wood (Craftdwarf's?). Edit according to raws: Bone (Craftdwarf's?)
Well the Instruments themselves were made in the:
(Magma) Glass Furnace, (Magma) Kiln, and Craftdwarf's Workshop.
NOTE: I only tested Magma variants, did not build the non-magma types.
Here are the workshops I tested, and what was new in them (has bookcase, book bindings, scroll rollers, quire, scroll, bind book, quicklime, sheet, and parchment locations listed as well.
Leather Works: Instrument Piece
Carpenter's Workshop: Bookcase
Craftdwarf's Workshop:Instrument, Instrument Piece, Bookcase (Stone), Book Bindings (Stone/Wood), Scroll Rollers (Stone/Wood), Quire, Scroll, and Bind Book.
Mason's Workshop: Instrument Piece
Magma Kiln: Instrument, Instrument Piece, and Quicklime.
Magma Forge: Instrument Piece, Bookcase (Other Items), Book Bindings (Other Items), and Scroll Rollers (Other Items).
Magma Glass Furnace: Instrument, Instrument Piece, Bookcase, Book Bindings, and Scroll Roller.
Farmer's Workshop: Sheet
Tanner's Shop: Parchment
Also tested, no apparent change in menus:
Mechanic's Workshop: N/A
Siege Workshop: N/A
Soap Maker's Workshop: N/A
Fishery: N/A
Clothier's Shop: N/A
Loom: N/A
Magma Smelter: N/A
Butcher's Shop: N/A
Jeweler's Workshop: N/A
Still: N/A
Instrument Piece: (Magma) Glass Furnace, (Magma) Kiln, (Magma) Forge, Craftdwarf's Workshop, Mason's Workshop, Leather Works
Instrument: (Magma) Glass Furnace, (Magma) Kiln, and Craftdwarf's Workshop
Bookcase: (Magma) Forge {Other Items}, (Magma) Glass Furnace, Craftdwarf's Workshop {Stone}, Carpenter's Workshop
Book Bindings: (Magma) Forge {Other Items}, (Magma) Glass Furnace, Craftdwarf's Workshop {Wood/Stone}
Scroll Rollers: (Magma) Forge {Other Items}, (Magma) Glass Furnace, Craftdwarf's Workshop {Wood/Stone}
Quire: Craftdwarf's Workshop
Scroll: Craftdwarf's Workshop
Bind Book: Craftdwarf's Workshop
Quicklime: (Magma) Kiln
Sheet: Farmer's Workshop
Parchment: Tanner's Shop
Edit: Also, glancing at the example instrument raws (for moding in specific custom instruments), looks like it can also be made out of bone.