Step 1: You Will Need
Two penny whistles. I used Flagolet brand in D. I suppose, if you were clever enough at music theory, you could choose whistles in different keys that would harmonize in a cunning way, but one of the limitations of this instrument is that you will be using the same breath pressure on each whistle, so it's hard to play low notes and high notes simultaneously.
Step 2: Assembly
Tape the ends of the whistles apart at a distance that pleases you. Use the sculpting clay to make a bridge that will join the two whistles. Bake the clay according to package directions. Don't bake the whistles.
Step 3: Finishing
When the clay has cooled, use two-part epoxy to glue the whistles in place. You might want to roll each mouthpiece a little outward to suit the curve of your mouth.
Now you can choose which holes to leave uncovered on the second, or drone, flute. You can cover all the holes, and just have a constant low D drone, which sounds nice but can be hard to maintain due to the differences in breath pressure for each flute. Or you can do what I did, and cover the top three holes of the drone flute. Then, with your right hand fingers covering the bottom three holes, and your left hand fingers covering the top four holes of the other flute, you should be playing in thirds.
I used masking tape to cover the holes, then decorated with paint, rhinestones, and O-rings. There you have it. An instrument worthy of your next Renassaince Faire or SCA event.