I have made a couple..... There was a great article and tutorial in the May 2008 ArtJewelry magazine on how to make them from allen-keys (hex-keys).
Basically, you cut the bent end off and allen-key, then anneal an end by heating to cherry red and letting it air cool.
The design can then be cut into the annealed end using files, burrs etc.
Once that's done, you have to harden the metal again. This time, heat to a 'straw' or dark yellow colour, and quench in motor oil.
You can purchase the tutorial here
http://www.artjewelrymag.com/art/default.aspx?c=a&id=1054 or I'd be happy to scan and email it to you.
They work really well

I made a flower, a leaf and a starburst shape. I'm guessing you could use a large nail or old steel punch the same way, but I bought the allen-keys in a $2 shop and got 8 in the pack. Could only use four of them (the largest ones) but still what a bargain!!
If you look at my blog
http://jewellersfile.blogspot.com/ and scroll down to the Lego ring post, you'll see I used the starburst shape stamp on the side of the bezel.
I'll dig out the photo of the three stamps and post shortly.
Tracy