On the cheaper end, scrap speaker wire on a camping clothesline reel ($3 at Walmart) makes an acceptable portable antenna. You can find semi-commercial versions of this as "yo-yo" antennas.

Getting a decent connection to the SMA antenna jack is a bit of a pain. The SMA jack can be fragile and doesn't tolerate a lot of strain and hacks like just jamming a paperclip into the center socket. The best would be to solder up short coaxial cable with the right SMA connector on one end and maybe alligator clips on the other for the antenna. But if you aren't up for that solder challenge, you probably will want a SMA to BNC adapter. BNC is a larger and somewhat more common antenna connector, especially for scanners. Then a BNC to "binding post" adaptor makes it easy to try different wire antennas.

If you get serious about shortwave listening, you'll probably want to try grounding the scanner for somewhat better reception. You can try a alligator clip connection to a copper cold water line as the ground. On the scanner side, connect to the shell of the antenna connector or even some grounded part of the chassis, including the negative side of the batteries.

I hope you enjoy playing with shortwave. The glory days of "SWL" are fading but there are still stations on the air.