Instructables
Picture of Nuts And Bolts Chessmen
My dad had been telling me about how he had been wanting a set of chessmen. So I figured I'd make him one. I saw a similar idea online someplace and decided to build my own. Cost about $50 in parts and I already had the board lying around. Currently the black pieces are spray painted, but I'm planning on sealing them with something in the near future.
 
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Step 1: The pieces

Picture of The pieces
rook.JPG
bishop.JPG
DSC00724.JPG
king.JPG
newqueen.JPG
The pieces for a standard set of chessmen (per side) are
8 pawns
2 rooks
2 bishops
2 knights
1 king
1 queen 
One set of these needs to be a different color than the other set. I spray painted one set with black Valspar spray paint, but it is starting to chip.  

Step 2: Building the pieces.

Picture of Building the pieces.
explodedrook.JPG
explodedbishop.JPG
explodedknight.JPG
explodednewqueen.JPG
explodedking.JPG
This uses lots of specialty and odd parts. Depending on where you buy them (I went to Ace), you may have to special order some. My pieces all use 1/2" diameter parts. The bases are all 1/2" kep nuts or phlanged hex nuts, depending on what you can find. Castle nuts were used in the kings, queens, and rooks. Threaded rod was cut for the rooks, bishops, and kings. The bishops are topped with lock nuts. You could also use cap nuts. I have several washers on some pieces, and a toothed washer on the kings and queens.

Step 3: Finishing it all up

Picture of Finishing it all up
Paint or finish the parts that need to be a different color, and set them up as you would any other chess set. Have fun!