I can't say much about making your own, but I can give you insight into the different types. My favorite is the 2mm Vernet band writer. The regular swami is too small and gets lost, the boon is liable to lose its stickiness. The thumb tip writer is overkill for most situations. But the band writer is easy to get on and off, is not generally visible, and you can get rid of I really easily by using Greg Wilson's pitch and ditch.
There's like a half dozen or so types in 13 Steps.
It's not a device I tend to use, so I don't have specific references. However, it's a cheap product generally. I think Penguin sells sets of 4 with a booklet of tricks for $25. Mark Strivings I believe sells a really nice one that is a thumb writer that retracts when not in use.
The cheapest way to duplicate them at home would be to stick some pencil lead under the thumb nail. I believe that was pretty much the original method.
I don't know of specific instructions to make them at home, since generally you're probably going to spend more time and energy trying to recreate what's out there than if you just buy them premade. If you look at the chapter in 13 Steps you'll see all the variations - they're pretty basic, just think of how that shape could be made at home.
You could also break off some pencil lead and affix it to your thumbnail with scotch tape or masking tape. This could be useful if you are asked to perform but don't have anything on you. Even then though I would probably just do different effects, but different strokes