I've made them out of cork or rubber stoppers. You can buy corks or rubber stoppers at most any hardware store. I cut the head off from a wood screw, drill a hole in the stopper and turn it onto the screw, chuck it in the drill press and form it with coarse sandpaper. Then drill the stop out to fit the mouthpiece. You can experiment with all kinds of shapes to suit the style you like best.
I prefer cork and I finish mine with polyurethane except where my lips come in contact with the stop.