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For beginners, I recommend using 1/8" dowel rod for the dart shaft. For the advanced builder, I recommend using 1/8" aluminum rod. While you are at the store, go ahead and pick up some bright red yarn and sewing thread. You'll need that to build the stabilizing tail. Clear fingernail polish or head cement for fly tying is another item you may wish to have on hand.
Building the Shaft
Begin by cutting off 12" on the dowel or 6" with aluminum rod with a hacksaw. Use a mitre box if necessary to keep the cut as square as possible. Now take a triangular file or Dremel and cut a shallow groove 3/4" from one end. That will serve as the anchor for the stabilizing tail. Leave the other end blunt for indoor target practice. If you are shooting outdoors, you can sharpen the tip with a file or bench grinder. For broadheads, cut a 3/16" deep groove on the tip end.
The Stabilizing Tail
Take the yarn I mentioned before and cut it into 2" strips. Cut a good pile of them, you can always use the excess later. Line up about 20 of these strips, and place them evenly around the groove at the tail end of the shaft. Firmly attach them using the sewing thread. Tie the thread off with a couple of overhand knots, and trim the thread close. To reduce drag, coat the threads and first half inch of yarn with clear fingernail polish and allow to dry. Trim the yarn to be even with the back of the dart. You are now ready to construct the head.
For indoor practice darts, you are almost finished. Put 1/4" vinyl tubing over the head of the dart, and you can begin shooting. For outdoor/bird hunting darts, sharpen the end. If you are using dowel shafts, carbonize the end over a candle to make the tip stronger.
A note on sharpening the tip. Use a file, Dremel, or bench grinder to sharpen the tip. To achieve the best tip, do flat grinds on 4 sides of the shaft, then round the grinds. This gives the sharpest and strongest point.
Broadheads are a major pain to construct, but are necessary for hunting small mammals efficiently. Purchase some flat razor blades and JB Quick Weld at the store. Place the razor blade on a piece of wood and cut the blade at an angle on both ends. The best tool for the job is a Dremel with a fine cut-off wheel. You should end up with with a triangle with a razor sharp base. Cut that triangle in half and set the dull parts side by side. Clamp the head in a pair of vice grips and mix your JB Weld. Coat the tail of the broadhead with JB Weld top and bottom. Place the shaft over this and evenly coat with more JB Weld. Allow the assembly to set completly before using.
Be extremely cautious when working with razor blades. Wear goggles as you cut them and don't hold the blade with your bare hands. The thin metal heats up considerably and can cause nasty little burns. Let them cool thouroughly before handling. Never shoot the broadheads indoors, and never shoot them at anything you do not wish to kill.
If you made it this far, I take off my hat to reveal my balding head, er, I mean to congratulate you. You now have everything that you need to begin shooting.