Step 1: Making the Grindstone
1: Take some river clay or some other kind of cheap clay
2: Make a bar of it.
3: Make grooves in it over the whole length, so that it's the half cross-section of the object you want.
4: Bake it. Usually with river clay you let it wait to dry for some weeks, and then bake it, when all water is out of it and it can't break. But you can also just start the oven not really warm, and after half an hour put it on it's max. Then there's a little chance that the whole things breaks in two, but that's no big problem, you can just glue the parts together. This is just a grindstone, I doesn't need to be esthetically perfect.
5: Take a piece of sandpaper the size of the grindstone.
6: Glue it on it. You may need to push in the grooves a lot. This is easier when you have wider grooves. don't use an extremely good glue, because you probably need to replace the piece of sandpaper by another one after some grinding.
Step 2: Connecting to the Drill
1: If you're going to use a big drill connect a cylindric piece of wood like this. After a while of grinding you may need to use a bigger drill bit.
2: Do this if you're doing it with a Dremel. hold a screw that fits in the Dremel in a pincer like this.
3: And hold it in the bench vice like this, don't cut it off yet, because...
4: ... you need to wear safety glasses. The screw could fly into your eyes. Now you're ready to cut the head off.
5: Insert it in the Dremel
6: And turn a wooden cylinder on it.
Step 3: Grinding
If you haven't made a grindstone, you can put the drill/Dremel in the bench vice, take some viles and sandpaper, and make a wood sculpture.
Guy90 commented that it would be useful to connect the other end to something aswell, that is especially needed for bigger objects, it is to prevent them from vibrating.