This is the easiest tutorial I've ever seen. Seriously, anyone with paper, paint, tape and a glue gun can do it. I got the tutorial on youtube but it seems like she's taken it down. Bummer. Okay well, no problem. Here's what you do. You will need:
regular printer paper or if you want your wand longer, construction paper. You're gonna roll it into a cone shape. Larger at the top, smaller at the bottom at the width you prefer and then tape it so it's stays in place. Snip the ends so they're even. Now cut strips of newspaper and stuff it inside your cone/wand. Get it nice and tight so it gets hard and won't bend. Fill it with newspaper to nearly the top and get your glue gun. Fill up the top so it's end is nice and smooth and rounded. Then you'll take the glue gun again and create any pattern you'd like on the outside of the wand. Then ho hum.. either hold it forever til it dries or find a place to prop it up without messing up the glue pattern.
When that's done paint it with acrylic. Voila! There's your wand! I'd love to see yours if you make one!