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Locknewbie21 and Kaotik--lots of people make their own picks, but you two had designs that really inspired me to want to try my hand at it.
Raimundo--for teaching me the importance of sanding and polishing.
Gordon Airporte--for the idea of polymer clay handles and steve0527 for reminding me about them (and Raimundo again because apparently the idea originated with him, but Gordon's was the first post I saw on it).
Pyro1234321--whose youtube video led me to lp101 in the first place.
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There are two components to my picks--the handle and the pick body. The body is simply a length of spring steel from the inside of a wiper blade. I usually cut the wiper blade inserts to 5.5" and trim the pick down to around 5" during the shaping step. My pick handles are made of polymer clay. Specifically, FIMO brand for its strength after hardening:
FIMO also comes in special effects colors--usually regular colors with glitter embedded, but also glow in the dark and "translucent" white. These packages are labeled "FIMO Effect":
The first step after getting the materials together is to create a mold you can use to make sure all your handles are more or less consistently sized and shaped. I used a Peterson handle as a template for my mold, but didn’t have it available at the time these pictures were taken. In the pictures I’m substituting a no-handle HPC pick, but use whatever feels comfortable for you and take it from there. The first thing to do is work the clay to make it softer; roll it, stretch it, squash it, and generally pretend like you’re a kid with Silly Putty. Once it softens enough to be easier to work with, make two lumps like so:
Each lump should be slightly larger than the handle you want to mold. Now flatten each lump against the table to get a smooth, flat surface, but try to keep each one in more or less of a rectangular solid shape. Carefully flip them over, so that the side you flattened against the table is face up. Those sides are where you'll impression your existing pick:
If you're impressioning a plain handle like the HPC in my pictures, this method is fine. If you impression something with texture like I did with my Peterson, you'll want to dust the clay surfaces with talcum powder or cornstarch first to make it easier to peel the mold off the pick handle.
Once you've pressed the pick about halfway into one of the clay lumps, take the other one and sandwich the pick between them:
Turn the whole thing on its side and carefully flatten it down against the table to create an edge that will help you line up the halves of the mold when you're using it to make new handles:
Once you peel the clay off of the handle you have something like this:
Bake it in the oven according to the instructions on the package. DON'T put the clay on metal foil or a baking sheet while you do this, or directly on the oven's rack. The clay is non-toxic, but you still don't want it to touch anything that you use for cooking. The plasticizers in the clay also tend to bond with other plastics and metal. The best thing to use is a sheet of white paper directly between the clay and the oven rack. Since you're baking at around (fahrenheit) 230 degrees and paper's flashpoint is 451 degrees, you don't have to worry about burning the house down.
After hardening the clay and letting it cool down, you can start molding new handles. The first step is to get your wiper inserts and cut notches into one end. I use a Dremel with a cutoff wheel:

The rest of these pictures are going to show my previously made Peterson mold:
Prepare each mold half with talcum powder. I’ve also found that peeling the handles out is a lot easier if you spray the molds down with Armor All every so often (EDIT: not anymore; now I just use a soft-bristle toothbrush and dish soap, and scrub out the molds every once in awhile). Either way, you may have lots of trial and error before getting it to come out right, so feel free to experiment with different mold release agents. Next, make a small ball of clay, roll it back and forth until it looks like a worm, and squish it into the mold. Do the same on the other side. Take one of the prepared pick body blanks, lay it right down the middle of one of the molds, and put a smaller piece of clay over the notches to help hold it in the handle:
Now line the two halves up (remember the edge I told you to flatten into them? It comes in handy here) and crush them together as hard as you can with your fingers. Don't lay the molds flat like a sandwich and try to press the top one straight down, because they'll slide right out of alignment with each other. Carefully peel off one half to get something like this:
And then work the pick out of the other half, using an X-Acto knife if necessary:
You can fire your new pick at this point after trimming away some of the excess clay, but I prefer to shape the handle a little more first, again with the X-Acto knife. Here's my quick tutorial job, but you'll want to be careful not to get fingerprints in the clay:
Once you bake the new pick (I do them in batches of 3 to save energy), you have a hard, strong PVC handle that gives you very good feedback when picking:
Next, take some 220-grit wet/dry sandpaper and round off all the handle’s edges under running water, then do it again with 400- or 600-grit to smooth out the scratches the 220 left, then get a microfiber cloth and scrub the handle until it shines. You’ll end up with something like this:
At this point you have a pick blank (EDIT: I now grind and polish the tips before making the handles, which is a little easier). For shaping the ends I use a Dremel with the brown cutoff wheel. Here are the exact steps I use for shaping the tips:
1. Set up: glass or bucket of water. If it’s a smaller container, dump some ice in it. Safety goggles. Dremel with regular brown cut-off wheels. Somewhere you can sit comfortably and let sparks fly without burning anything down. Masking tape to wrap around your pick handle (keeps it from getting dirty).
2. Draw pick template onto bare metal with a thin-point Sharpie.
3. Put goggles on, plug in Dremel and adjust speed (80% if you’re using one of the cable extender devices, which I recommend). Fire it up and get a good grip on the metal with your bare hand so you have an idea of when it’s getting hot, apply cutting wheel at RIGHT ANGLES to metal (not to the wide part of the metal, either…the pick’s length will be more or less parallel to the cutting wheel’s axis of rotation) and grind down to your template line.
4. Don’t take off too much metal at a time, and don’t force the cutter into the metal; if you lose control you’re going to slice your hand. After maybe two or three passes the metal will be hot (not burning) to the touch. Dip it in water at this point. If you hear it hissing when it hits the water, it’s too hot. if you smell the metal burning or singe your fingers while you’re cutting, it’s DEFINITELY too hot.
5. Be patient. It might take you several failed attempts before you get good results, and your first few picks might take you a very long time to shape until you get used to the process.
6. File if necessary, then get out your wet/dry sandpaper (mine goes 180, 220, 320, 400, 600, 1000, 1500) and start polishing.
Once you have your mirror-finish pick, the final step is to remove the lid from a bottle of Turtle Wax Express Shine:

…and holding the pick by the tip, dip the handle in to completely coat it. Don’t drop it in or you’ll be dumping the entire bottle out into another container, then trying to funnel it back into the original container’s tiny opening. ASK ME HOW I KNOW.
After coating, poke the pick into a piece of foam packing and let it stand upright for about an hour (EDIT: I now leave picks in the foam for 24 hours with occasional Turtle Wax spraying to give a higher gloss), or long enough for the wax coating to mostly dry, then buff the handle with your microfiber cloth one last time for the finished product:

-steve