You'll need clay and a few tools :
soft earthenware clay
Popsicle or other similar flat, wooden stick
palette knife or other small carving knife
needle tool; used to remove bits of clay from the airway of the whistle; scoring when attaching pieces of clay
round tool for making tone/note holes.
carving tools; small ribbon tools and stamps for decoration/ texture.
Step 1: Forming the Whistle
Cradle the ball of clay in the palm of one hand, pressing the thumb of your other hand into the ball to open up the clay. Press until you feel pressure against the palm of your hand holding the clay.
With your fingers on the outside of the ball of clay and your thumb on the inside, begin pinching and turning the ball of clay, working from the bottom towards the top. Thinning the wall of the chamber as you go. The goal is to turn and pinch in such a way that the wall of the whistle is about 1/4" thick or thinner and even on all sides.