Step 1: What it does and how it works
I didn't have a spare one to cut up, and they'd only just gotten rid of all the broken equipment in my music department, so I had to use a working cable, which I didn't want to destory.
All I needed to build then was a switch which connected the wires of a socket together, and I needed to put it in one of the 9V battery cases I had lying around.
The cable I chose was the one to my violin, which ha a much smaller, headphone-sized jack on the other end, which was better because I didn't actually have any bigger sockets around, nor would they fit in the little container. If you do have a broken lead you want to reuse, feel free to ditch having a socket on the pedal and just attach the wires directly to the switch.
So yeah, you'll need:
A used 9V battery
A push switch (I had a few left over from an old, failed project)
A socket if you want to not destory your cable (I desoldered it from a piece of TV equipment, they're pretty easy to find)
Tape, wire, etc.
Step 2: Make case
I'd already done that and used the useful end for another project, so I'll be using tape to close it up, but if you hold onto both ends you can have it still look like a battery when you're done.