I have been involved in getting a CE mark for a product, but not a toy.
Maybe I am telling you something you already know, but here is my experience.
Based on my experience,you either have to pay a consultant to do everything for you, or put the time into reading and understanding your obligations. i would strongly suggest understanding the process yourself and relying on outsiders, except where you need to.
I cant help with the costs, as the product areas was completely different.
You probably have to use certified test body to test the product but you should
have in-house knowledge on the directive, and the relevant EN standard.
Here is a list of all the EU directives for each product type. The one on toys should tell you what standard you have to meet and there is usually a guidance document.
http://www.newapproach.org/Directives/DirectiveList.asp
The language of all these documents is very confusing at times, your brain will turn to mush, but you will survive it. Good luck.
If you google CE toys,you should be able to find a list of companies who do the testing. Of course, the websites are designed to drum up business, you might find that some of the companies publish useful papers giving general advice.