There are 3 manufacturers here in Hungary, the two already mentioned and Astor Magic ( www.astormagic.com
If you would like to buy directly from them when you are here I suggest you make an appointment as they do not have a shop.
The only magic shop is indeed Figaro, and as Sean wrote its near Hotel Gellert. The is at the 11th district at 31 Bartk Bla road (phone number 365-1482 when calling from Budapest, on mobile phones add 06-1 in front).
There is a weekly gathering of magicians in Budapest on Tuesday from 7 PM in the Feszek Klub (go up to the second floor and ask around - its not a large place) at the corner of Kertesz st. and Dob st. (6th district).
Would have been nice to meet you myself but I will be in Israel during your stay here. If you would like too meet others please PM me with your contact information and I will forward it to others I know are welcoming in their nature :-)
Have a nice stay.