Okay, I'm sure there's more than few people out there who've seen the threads on making Sgian Dubhs. The only problem is you want to try it and are clueless about the the process. With that in mind I've decided to post a few links to sites about knifemaking. It's not that hard and you don't need to spend a lot to do it.
Feel free to add any sites you know about.

http://www.knifenetwork.com/workshop/index.shtml
http://www.homestead.com/beknivessite2/guard.html