While I always thought it would be possible to make your own knitting needles, I never really had a need for them. I have quite a collection of various sizes and types. The only dpn's (double-pointed needles) that I have are quite small however, and I wanted some larger ones for some thick and bulky yarn that I have. None of the local craft supply stores carry any of the bigger sizes and my LYS (local yarn shop) isn't that "local." So, I decided that I would try to make some and see how it goes.
My Mom joined a knitting group recently and she mentioned that they were making them with wooden dowels and a pencil sharpener. I thought that sounded like a great idea.
So, I took my needle gauge with me and went to the hardware store. For 69¢ each I got two dowels each, of two different sizes. Some to fit the size 11's and some size 15's. Because the dowels aren't metric, it's not an exact fit and I couldn't get size 13's like I wanted. It is an experiment after all. I ended up with 3/8" and 5/16".
I cut five pieces of each size and sharpened them with an old school pencil sharpener. I'm not sure if the newer pencil sharpeners would work for the bigger size. This one was actually from an old school - back when the first grade pencils were as thick as your thumb. This technique doesn't guarantee that the point is centered on the dowel. If you are lucky enough to have a husband who makes his own wooden arrows, then there is a tool that you can use that will make the point exactly centered, but it's not crucial for this.
I'm not used to wood-working, but I did find two types of sand paper laying around. I used the coarse size first, finished with the finer grain, and polished them with a cloth. They're not perfect, but they seem quite usable to me. I'm sure you could make regular knitting needles by gluing a bead or something onto the opposite end of the point. You could also rub them with linseed oil, or even paint them if you'd like. I'm sure someone has posted a fancier tutorial than this, but I haven't searched for one. You may find some more points, or a better way to make them.
Here's another trick you can do with knitting needles. My Mom made this set unique by adding some beads as an embellishment. Take your needles with you to the bead shop to make sure the hole size of the bead will work with your needle size. Just glue them on. One tip would be to use smooth beads. These bumpy ones are pretty, but sometimes get caught in my yarn.