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.
Step 3: Shape the plate surface.
Its kind of hard to explain, so I made a picture that does it for me.
I used the grinder to carve out an arc, until the grinders umm... curve got too wide for the arc I had drawn. Then I used the belt sander, which took a little while. I also sanded the edge to make it easier to grind with your shoe at an angle.
Step 4: Cutting the shoe
use the hacksaw and cut along the line at the front and back of the plate. cut so that is is deep enough to fit the whole plate, but not so deep that it cuts into the sole. Then, bend the front part back, allowing you (with a little difficulty) to cut along the lenght of the shoe to the cut you made where the back of the plate would be. smooth up all the cut parts, and try to make them as even as possible.
Since I am already using the shoes that I made, I used a different pair for this step.
Step 5: Testing and gluing
Step 6: The last step.
One warning: don't go to a skatepark until you are pretty good, or you'll just get in the way of the other kids and they'll get mad and kick you out. I've gotten some pretty weird looks when grinding with these, but most people think they are cool.
have fun, and don't break anything important. (like your spine)