I couldn't find a quilling tool in the local stores, so decided to try and build one myself. The version made out of a needle and a pen cap turned out the most successful, it was also pretty easy to make. You will need a mid-size sewing needle with a long eye. First, carefully snip the eye tip off the needle. I clamped the needle in a vice, so that only the tip remains outside, and broke it off with a hammer. You may try doing it using a pair of pliers, but this can be hard because of the sort of steel, used for manufacturing some needles. Finally, thrust the needle into a felt pen cup or a wooden handle.
Jan 18, 2010: I just wanted to clarify some points regarding the do-it-yourself quilling tool. I made mine using a thin, not thick needle. Then, this tool is a replacement for a slotted tool, not a needle tool. When using a needle tool, you don't spin it around as you do with a slotted tool, but instead wrap a paper strip around the tool with your fingers to create a roll. The paper in this case slides freely around the needle. It's important to keep in mind, that this method can be used only with certain sorts of paper (i.e. good quilling paper), and isn't suitable for the copy and construction paper I use for my quilling.