To make them you will need:
Hardwood pen blanks (3/4 inch square square by 5 inches)
Lathe Tools- Especially a 1/2 inch gouge and skew
Step 1: How-To-Turn Your Pen Blank
You need a handle at the bottom and a bobbin at the top to hold the thread. It's easier to start with the handle and then move to the bobbin second. The wood tends to break on either side of the bobbin, especially at the far side where it's weakest.
Afterwards finish with oil and you're done. You can wrap them in ribbons to look cool. Generally a dozen is a good number to start with, but you can do 2 dozen if you're feeling ambitious.
Voila, one awesome Christmas gift.
Step 2: Finish with Danish Wood Oil
I wrap mine in fabric furoshiki's for a final elegant twist.