This shows how to make the set of 24 runes, but I'm no expert on how to use them.
They are based on the Elder Futhark set, supposedly the oldest and original set, but If you can make one rune then you can make any form or set you like as long as you have the alphabet to copy from.
As regards tools, a saw and an old screwdriver is all you need for a basic set, there are certain types of wood which are favoured for the job such as Rowan, Elder and Holly, but for this instructable I will use Cherry as I have more than I know what to do with.

Step 1: Materials and Tools:

Take care using sharp tools, and hot ones as they can hurt you.
If you are not an adult then you should borrow one for this project, do not attempt to burn the symbols without one.

Branch wood - around 40cm long and 25mm to 40mm diameter is a good starting point, use dry, seasoned wood as it may split or crack when drying out.
Saw - as fine toothed as possible so as to reduce the amount of sanding needed.
Sandpaper - if required.
Old flat bladed screwdriver 5 - 7mm wide, or similar metal object which can be heated to red hot. (A pyrography iron is even better).
A good soldering iron of 75 - 120 watts can also be used but anything of lower wattage won't really get hot enough and could take for ever.
Wax - Beeswax, furniture wax or even candle wax can be used.
I've also included the Elder Futhark alphabet with divinitory meanings.

Step 2: Step One...

Start by cutting the branch(es) into 24 slices approx 10 - 12mm thick or as thick as you want, Its a good idea to cut a few extra in case of accidents.

Step 3: Now for the Fun Bit...

Sand them to remove saw marks if required.
Draw the symbols onto the blank runes.
If using a screwdriver etc, heat it using a flame such as a gas torch, or gas cooker, obviously taking care not to burn yourself.
If using a proper pyrography tool you probably know what your doing already!
Whichever means you use, burn the symbols into each disc, you need to burn about 1 - 1.5mm deep. It's wise to practice on some spare pieces of wood to get it right first.

Step 4: To Finish...

If you want to go a bit further then give them another sanding to clean up the burn marks around the symbols, and apply wax to seal the wood, This is easier if you warm them first maybe in an oven or in the sun if you have that pleasure, but not too hot.

Thanks for staying to the end.