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.
Step 2: Design and cut your plate
Then , use the hacksaw to cut out a square containing your plate. This step sucks. My advice is to put it as close to the corner as you can. Then use the saw to shape the plate, giving you a rough "blank" plate.
Now use the grinder to finalize the outline. I'd also round off the edges that are going to come into contact with the ground, cause they can get annoying.