1. Buy this http://www.sharpie.com/enUS/Product/Sha ... arker.html. I picked one up at Target for around 10 bucks.
2. Buy an X-acto no.2 knife.
3. Cut the x-acto no.2 knife about 1 inch below the knurling. I used a dremel with a cut-off wheel and it worked pretty well.
4. Make some picks. When making your picks I recommend making the base of the pick in the same shape as the base of the x-acto blade. It makes for a very snug fit and will not move around when picking.
When you have finished making your desired picks and tension wrench/es simply put everything together. Remember, it is all pressure fitted. I recommend closing everything up in this order: 1. Place the x-acto tip firmly into the cap of the pen. 2. Place the picks inside the shaft. 3. Place the end of the x-acto tip (which is now affixed to the cap) into the shaft.
I took some pictures because, well, they say a picture is worth a thousand words. Hope this helps!