1" Aluminium round bar (2011 T3 is a good choice for this)
3/8" Aluminium round bar
1/4" Brass round bar (I used C360 free machining brass)
You only need a foot or two of each of these (get enough for errors!) I bought mine at OnlineMetals.com, which I have found cheap and fast to order from. Since you are turning all of this stock down anyways, you can make do with anything that is of at least the above dimensions.
5/16" x 1" compression spring. (I used a Servalite #135U bought at Orchard Supply Hardware.)
Right-hand turning tool, medium straight knurl, parting tool -- I'll discuss the tooling more within the Instructable.
Oh, yes; and a lathe.
Step 1: Don't Worry, I Have a Plan
The M41A Pulse Rifle, as created for the James Cameron classic action/SF film Aliens, is one of the top ten recognizable and emblematic weapons of the genre. Canonically, it fires 10x24 caseless armor-piercing bullets and 30mm rifle grenades in an over-and-under configuration. Only the M40 HEDP grenade is seen in the film, both as fired from the Pulse Rifle, and in a secondary role as a classic "push button, wait four seconds" hand grenade.
(Actually, it is hard to tell in the lighting of the scene, but at least one green-cap variant shows up in the Operations Room scene. "Don't touch that, honey; it's dangerous.")
According to the movie's armorer Simon Atherton, speaking in the DVD commentary, the original grenade props were manufactured from 12-gauge snap caps; soft aluminium or plastic dummy rounds used for training.
After some poking around at the Aliens Legacy forum and similar, I chose to make my own plans more-or-less from scratch. Which is a subject for another Instructable! The plans I made, I freely give back to the community.