You can buy "real" ones for $50-$80 but that's expensive, I don't like how they look, and I think mine are as good or better than store-bought ones.
This is my first instructable, so bear with me.
Step 1: Materials
Shoes: I used my old New Balances, any shoe that has a relatively thick bottom layer (everything under your foot) would work
Slide material: I used a UHMPWE cutting board. It is perfect for this use, other dense, smooth plastics would work,(PVC, teflon, etc) I don't really know about metal.
Glue: I used "Welder" glue. It was really cheap, and it has held up well. Barges glue is probably perfect for this, but it is kind of expensive/hard to find. WARNING: Shoe Goo isn't good, although it sounds like it would be.
Tools: Hacksaw, bench grinder, vise, belt sander, sharpie, xacto knife. You can probably substitute for some of these.