Firstly I want to point out that a wand is not a necessary item when it comes to the craft.
Other than that it is very simple, you find a twig and there you have a wand. It really is as simple as that. Of course you can make it more complex by choosing a certain type of wood, thanking the tree before taking a twig from the ground (please don't cut off a live branch/twig), blessing the wood, carving it, inlaying it, etc.
A wand is simply a tool through which you can channel energy, it really can be as simple as a piece of wood you find on the ground, or as ornate as the crystal studded engraved wands that you see people with. Often as your craft develops you can move onto more elaborate pieces if you wish, but none of them is necessary.