I need printed sets of the alphabet in upper case.  Each letter has a
subscript ranging from 1 to 10 and must be printed on 1.5 cm squares
of magnetized sheets, or metal sheets.  The thichknes of the sheets
should be around 2 mm.

20mil Flexible Magnetic Sheets are available from most office supply
stores, or online at places like OfficeDepot.com and Staples.com.

The same material is used for magnetic vehicle signs (30mil is also
available)
This material can be printed in most home or office inkjet printers
and cut to size with either scissors or a utility knife

Note: This will not hold up well to constant handling or outdoor use.
For more durable results, most sign-makers shops can print with a
weather resistant process that will last several years outdoors.

If you will need a significant volume, the same shops can provide
silkscreen printing.

One other note: 1.5cm is fairly small,( I just tried a piece, and it
holds OK) and the material is pretty thin, so there is very little
magnetic material to hold on to the surface, so you might want to test
it first, especialy if it was used outdoors (high winds) or where
other conditions might move the pieces.

I have found several suppliers of magnetized lettering but in order to
identify one close to you I will need to know roughly where you are
located.