How well do you get on with your SIL, startrek? Would you be able to bypass your dh and explain things to her, as you have explained them to us here?
If someone said to me, "SDTG, I really appreciate all the things you have lent me for the baby - it's very kind of you - but I worry about looking after them, because I know they have to go back to you in the same condition you gave them to me - and it sometimes feels as if I don't get to buy anything for my little one - would you mind if we didn't borrow so much from you?" - I would understand completely.
But if your SIL is the sort to take offence, that approach might not work.
Another option might be to use the things she gives you, and spend some of the money you've saved on some thing special - but choose something that you are likely to hang onto for years to come - like a special outfit for a special birthday, or a really lovely quilt for his bed, or a special picture for his bedroom wall, with his name on it - there is a website called LetterFest, that will take a photo and turn it into a black and white sketch, for example - you could get a photo of him turned into a picture.
Or you could start building up a collection of a particular toy - with ds1, we bought lots of Brio train and track - it lasts forever, all three dses loved playing with it (and dh did too), and we still have it, put away in the loft, for grandchildren. Lego or duplo is another thing where you can buy little bits and pieces here and there, but it builds up into a really wonderful toy that will give joy for years.
DoJo is right - you aren't going to keep things like the baby's walker, so you need to think outside the toybox and find some things to buy that you will want to hang onto.