The basic premise of the cryptex is that it allows the creator to hide a secret within the capsule and lock it using a simple slotted key mechanism. A password aligned perfectly with the arrow is the only way to unlock the cryptex. Or you could smash it to pieces. The password is entered using a series of dials that spin around the canister and allow the key to be released.
The fundamental components of a cryptex are its key, dials and canister. You could make one from scratch and there are instructions to do so, but if you want to fit this thing in your pocket, I have just the solution: a lip balm tube; specifically Nivea.