I'm not going talk down to everybody about the legal stuff involved with this,I quite frankly don't give that much of a damn, I just like making things. Just don't be an idiot.
Step 1: Materials
Blow Torch: This will be used to harden and temper the metal.
Vice: Not necessary but damn usefull.
Pliers: For holding hot bits of metal.
Junior Hacksaw Blades: I don't think quality of blade makes too much difference so just go for the cheapest.
Files: These will be used for shaping the picks. A large coarse file for doing the basic shaping and some smaller needle files for the fine work are recommended.