Step 1: You Will Need
Two penny whistles. I used Flagolet brand in D. I suppose, if you were clever enough at music theory, you could choose whistles in different keys that would harmonize in a cunning way, but one of the limitations of this instrument is that you will be using the same breath pressure on each whistle, so it's hard to play low notes and high notes simultaneously.
Step 2: Assembly
Tape the ends of the whistles apart at a distance that pleases you. Use the sculpting clay to make a bridge that will join the two whistles. Bake the clay according to package directions. Don't bake the whistles.