I'm actually interested in this as well - I've read that you can use a coat hanger in a pinch, seems kinda ghetto to me... but those who've made something themselves have used titanium bicycle spokes or stainless steel bolts, using something with copper or brass or plating will obviously leach into the tank. The ones you buy are made of titanium, which is probably why they cost ~$10.
It seems there are some strong opinions out there and the experts will tell you that the probe just gives the current (the deadly part, voltage is just the potential, current is what can KILL) an exit path, the proponents state that it is not for your inhabitants protection, that it is only for you. I use one, and am lucky because just yesterday I detected a voltage leak from my skimmer pump
(link) that could have been a disaster - I have kids who love to feed the fish for me and play near and even in the tank.
Here are some links:
Google Search
A Poll on 3reef
ReefCentral
Another article referenced
If you make one, post it up and let us know the results - and make sure you measure the resistance with an ohmmeter, it should be as close to zero as possible on the lowest setting your meter has.