I've somehow lost the end cap for my dremel flexi-shaft. It may turn up some day, but I've spent too many hours searching for it. Dremel doesn't sell a replacement, so I needed to make my own.

Step 1: What You'll Need

Lathe with basic tooling (and lathe skills)
1/2-40 (NF) bottom tap and wrench
29/64" drill bit
13/32" drill bit
Half round file
Sand paper or cloth to finish/ polish (optional)
Rod (3/4" +) of whatever material you have and are comfortable machining.

For the material, I'm using aluminum. Delrin would certainly be easier, but I wanted something I could polish and make a little extra special.
You should probably check your dremel and make sure the threads are 1/2-40. Mine is threaded like that, but it's possible they've changed at some point.

Step 2: Start Cutting

Chuck up your material.
The first few cuts are pretty basic.
First, face cut your material. Next, I cut the material down to.625" for the first 1/4", then cut an additional 1/2"(roughly) down to.750". The .625" is the same diameter as my flexi-shaft, and I figured the .750" would be a good size for the outer part of the cap.

Step 3: Shaping the Finger Side Contour

Start by manually roughing the material to a slight concave curve with the lathe, then finish the shaping with your half round file.

Step 4: Drill Main Through Hole

Drill a 13/32" hole the whole length of you piece (~3/4").

Step 5: Analyzing Flexi-shaft and Next Cuts

Now take a look at your flexi-shaft. Mine has thread that extends just over 5/16", and it looks like 1/2" will make a suitable length for the cap. Go back to the work piece and plan where you'll cut to get the 1/2" section you want out of it.
Next, cut the open end down to the right size.
After it's been cut, drill 29/64" for your tap. I drilled in .375" to give myself a little extra room for the threads that extend our from the shaft handle.

Step 6: Tap the Hole

Really, you can do this step how ever you prefer. Tap the account of the piece that you drilled out to 29/64".
I used a live center in the tail stock to hold everything centered, while I turned the tap with a crescent wrench (my small tap handle was too small, and my big one too big).
After you've tapped it, check the shaft handle and see if you need to counter bore the threads at all. I needed to a little, and bored out a 1/2" diameter .060" deep.

Step 7: Check to See If It Fits

If the threading works on the shaft handle, go ahead and cut the piece down to the finish length. I went with 1/2", but you could potentially go longer or shorter depending on personal preference.

Step 8: Shape the Tool End

I know it's probably not the safest thing I've done, and you should chuck the piece up however you're comfortable, but the material is pretty soft and easy to machine, so I used the tap to hold the piece in the lathe.
Now rough the tool end of your piece to your desired shape, and follow with the file again.
Once you've completed this step, you're pretty much done unless you want to polish.

Step 9: Sand and Polish (optional)

Since I'm making the part myself, I decided it was worth the extra time to sand and polish the aluminum.
I used 120 grit, then 320, then 400, then 600.
I followed this with polish and a soft cloth.
Because the tap presents a greater hazard while sanding and polishing, I covered the exposed parts with a few layers of painter's tape to keep it from suddenly grabbing the paper and cloth.