Making an awl / ice pick is a great project, because it's easy to do, yet it's an extremely useful tool to have in the shop. Fundamentally when making an awl you need some sort of handle and something sharp, and there are lots of ways of doing it. Here's one way.

Step 1: What You'll Need:

Materials:

Wood for the handle (I used a block of walnut)
Large Nail or something sharp (I prefer stainless steel)
1/2 inch copper piping for the ferrule (nice, but not necessary)
Epoxy

Tools:

Lathe / chisel / sander to shape the handle
Drill + drillbit
File (to sharpen nail)
Pipe Cutter Hacksaw / dremel (or some other way to cut the nail)

Step 2: Method:

The Handle:

Start with making your handle. There are various ways you can shape a handle. If you have a lathe, this is an excellent opportunity to use it. Another way would be to shape a piece of wood with a chisel or a spokeshave, or to simply use a sander heavily.

If you want to add a ferrule, make sure to shape one side to fit the copper tubing of 1/2 inch. This is easiest done on a lathe.

In terms of shape of the handle, you can either make it short and chubby, or long and slender, or somewhere in between - it depends on what you prefer and what wood you have to work with.

Once your handle is finished shaping, find a drill bit of the same size of the nail you're using. Mark the center of the ferrule / end part of the handle and drill about halfway down on your handle.