There are a number of different methods for constructing a bike polo mallet, and there has been much innovation over the years. Starting out with half of a crutch, to bamboo, to ski poles with wooden inserts, to the modern T-nut construction innovated by Eric Crandall.
The most important step in constructing a mallet is choosing a strong, yet light ski pole. Used sports stores, thrift stores, and ski lodges will often have poles for sale; you should pay under five US dollars per pair. To select a good ski pole, use the following steps:
Measure the length of the mallet from the top of the handle to the top of the basket. Most people use mallets in the high thirty to low forty inch category.
Check the material - aluminum or steel are good, carbon or bamboo should never be used. Titanium is a toss-up - some people like it, some don't due to its flexibility.
Check for kinks in the mallet. Scratches are OK, but a kinked mallet is a doomed mallet.
Test the strength of the mallet by flexing it over a knee. This will take some practice to get a feel for it, but it should take a fair amount of effort to bend the mallet. Too flimsy and it will break quickly.
Once you have selected your mallets, you will need mallet head material. There are many different grades of ABS and HDPE piping, and the main differences will be in weight and durability. I personally like a light mallet, so I use two inch (interior) cellular core ABS. This will wear out quickly, but thanks to the T-nut technology, you can replace mallet heads easily.
Tools needed: drill, screw, razor blade, hacksaw, pliers, 2.5" T-nut and bolt, desired wrapping material.