I use a fishing tackle box, and can fit an astounding amount in there, including a first aid kit. I love it. My other concession to practicality is a Leatherman on my belt, and a led white/red light flashlight in my pocket. With these supplies, I manage most emergencies handily.
Admitedly, the tacklebox is a bit bulky and heavy, and would be REALLY awkward if I had to ride a subway with it every day, for example. But, I usually just stash it someplace out of the way and leave it in the theatre for the duration.
My advice would be, if it's possible in your situation, to let various departments (scenic, costumes, props, etc.) provide tools and supplies that are their responsibility, and focus on bringing the things you need that might not necesasrily be lying around but can be handy in an emergency.
I own my own drill and love my drill, but I'd never consider brining it to the theatre if I was stage managing.