Start with finding a good piece of string. I found mine in the basement, it's a synthetic string that might have been for clothing line or something. Just make sure it doesn't break.
For the weight I use a tennis ball. Just the right weight, cheap and easy to find. I wiggled a screwdriver through to make the holes. Make sure the holes are opposite or it will wobble. I used thin metal wire to get the string through the ball. A metal washer or two makes sure that the knot doesn't eat through the holes.