My multimeter probe died and I made a new one out of an old pen. Here's how I did it.
Search for a (not working) pen and rip it apart.
Scavenge the case and the metal tip. Metal tip isn't really neccesary, you can replace it with glue.
Make a hole in the rear end of pen's casing (sharp scissors are perfect for it) and run a wire through it. (I was dumb enough to do it later, incredible pain in the... you get the idea)
Get something that's pointy and made out of metal (like a nail or a screw) and some wire. When choosing a wire, make sure it's flexible enough for multimeter use AND is good for using the voltages you plan on measuring. My wire is 300V, which is just a little more than what I ever measure.
Wrap the wire around the pointy-metal-thingy (in my case, screw).
After that I used some good-old brute force to drive the screw into the pen's tip. It stuck there so well I didn't need to use any glue and I'm certain it won't budge.
Screw the tip back on and solder on some kind of a plug to attach it to your multimeter, unless you own a silly multimeter like I do, which uses no plugs on probes. They're directly soldered on.