I've seen these on TV and wanted to get one just for the heck of it, but then I thought about making one myself.
Step 1: Materials
You need about 2 feet of 1/2 inch PVC pipe, 1 T joint, and 3 end caps.
PVC glue is also recommended unless you don't mind your police baton falling apart all the time.
Your also going to need a saw to cut the pieces to the right lengths.