One neat way to make a wand that is very popular is to get a piece of copper tubing and a crystal that fits in the end of it or even one for both ends of it. Then you can decorate the tube in various ways. SOME people solder small chips of gemstones on it, while others wrap it in black leather (crazy glue keeps this on the pipe!) and then braid various colors of embroidery thread about this or attach feathers to it or whatever. You can fill the tubes with herbs sacred to your purpose/goal in life too.
Some folks have more than one of these wands for various purposes in their lives. You can solder the crystal/s in the end/s or you can fashion prongs out of the end of the tubing and stick it in in much the same way a jeweler sets a diamond in a ring. Again, if you do this, you may find a touch of crazy glue.
Of course a wand doesn't have to be this complicated. Another nice wand is the ceremonial Magick - type "lotus wand" that some witches have adopted as their own. Take a branch from a tree that is fairly straight and the right length for a wand. Preferably this should be one you find, but it can also be taken from a living tree if you psychically "ask the tree's permission" - if you get a strong feeling this is wrong and that you shouldn't cut that tree, don't do it. THIS SHOULD BE DONE ON THE WAXING MOON. All ritual tools you make should be made and/or consecrated ONLY on the Waxing moon. The waxing moon is the time from one day after the new moon up to and including the night of the full - moon. Either way, leave an offering of thanks afterwards.
If you are into the Native American traditions, a ounce or so of tobacco (PURE - the kind used in the sacred pipe) or cornmeal is appropriate. If you are in Wicca / NeoPaganims, a libation of apple juice is most fitting - as is some home-baked cakes (unfrosted plain cupcakes, some corn muffins, oatmeals or cornmeal cookies or cornbread, a loaf of home-made or all-natural whole wheat bread, etc - NATURAL stuff, please NO TWINKIES AND JUNKFOOD) or even a few small charged crystals can be implanted in the ground for the trees growth. In Santeria it was traditional when taking anything from nature to leave a specific number of copper coins, perhaps with specific foods, depending upon the Deities/Orishas or other entities being invoked according to a very strict tradition of what Beings ruled what places. (for example, 5 is the number of a river or fresh water, 7 is the number for the ocean, 4 or 6 for a mountain, 2 for the forest, etc.) Then you strip the bark, sand it down, mark it in 7 segments and paint them each in these colors of the rainbow from top to bottom. Red, Orange, Yellow, Green, Blue, Indigo, Violet.
Some celtic traditions put a steel rod through the middle of any wooden wand - a tricky business, but effective to make it a channel of the energy. To do this you MUST be sure your branch is of a certain thickness or it will split as you try to do this. This channels the energy in a simillar way to the copper tubing in the crystal wand. They also wrap a coil of thick steel wire around it's handle, like a snake, for 4-5 times which makes a grip and is also said to contribute to the energy flow. Another way to paint a wooden wand is half black and half white or half gold and half silver, to express the balance of the polarities.
If you are into Kabbalah, some folks also use Red and Blue as these are the colors usually associated with Chesed and Geburah in magick which are the central spheres on the masculine and feminine pillars of the tree of life, respectively. And some people leave the wooden rod plain, allowing the natural beauty of the wood to come through. ALSO, some people make their wands out of a wooden dowel rod bought at a local lumber supply house. I do, however, suggest that if at all possible, you still go into nature and make a small offering to mother earth for the materials used. Even a purchased dowel or a crystal bought from a rock shop or a copper tubes are all gifts from Mother Earth and Father Sky and it is important to show our gratitude for what they have given us.
Ultimately, you should make the wand be what you FEEL. a simple stick wrapped with embroidery thread that has some feathers tied to the ends of the thread works well for one friend of mine in MASS.
Wand of Air Cut an 18 inch Lilac branch. Slowly shave only the bark off, no wood. Make sure the branch is green. Holding the wand with your thumbs, light incense under it, and let the smoke touch it. As the incense burns, chant: "Spirit of Air, maker of wind. Bless this wand to channel your strength through." Wand of Fire Cut an 18 inch Cherry branch. Slowly shave only the bark off, no wood. Make sure the branch is green (red). Resting the wand on your thumbs, light a candle under it, Push wand in and out of the flames while chanting: "Spirit of Fire, maker of destruction. Bless this wand to channel your strength through." Wand of Earth Cut an 18 inch Dog Wood (or Oak) branch. Slowly shave only the bark off, no wood. Make sure the branch is green. Resting the wand on your thumbs, slowly sprinkle dirt/earth over it while chanting: "Spirit of Earth, maker of Mountain. Bless this wand to channel your strength through." Wand of Water Cut an 18 inch Willow (or Drift Wood) branch. Slowly shave only the bark off, no wood(Don't shave drift wood). Make sure the branch is green (Not necessary for drift wood). Resting the wand on your thumbs, slowly sprinkle water over it while chanting: "Spirit of Water, maker of sea. Bless this wand to channel your strength through."