That depends. You can use wood slices, little stones, iron; actually everything, however most people use wood or stone, because it has natural energy and was also used long ago.
You can carve the runes in the material, or paint them, or do it with blood, or any other way you see fit.
(There is a book, written by Igor Warneck in dutch and german, which has been very helpful
As far as the runes are concerned, I'd use the Elder Futhark (it's the original runic script) and leave the blank rune. which has been added to some rune sets an age ago.
Once you have your runes, you can. bless them, and they're ready for use.
I hope it was helpful!