First of all, I'm sure that you all know that you can buy mass marketed type Millenium Puzzles.
Some costume company puts out a foam one which pretty cheap, the thing is, I hope you don't mind having they eye logo on all 4 sides of the puzzle. ^_^;;;; Not exactly the most accurate. But if you are in a pinch and live near a year round costume store (I got 2 in my area) you can do that.
The other way you can buy a Millenium Puzzle is through Ebay or a Yu-Gi-Oh! Card shop. Know why? Because the winner of a regional tournament gets a pretty nice Millenium Puzzle Golden trophy! It's cased in plexiglass tho, and a bit on the big side so people probably aren't going to be wearing it. You could always forgo buying one and trying to win the regional tournament yourself. Always an option. ^_^
Anyways:
Ingredients for an easy to make type:
If you live near or plan to hit Las Vegas in the near future, I suggest you hit the Luxor. Their giftstore has tons of pyramids to base your puzzle off off.
But not everyone has that luxury, so you have to make your own pyramid. One way is to get a block of wood and just saw it down until you get a pyramid. That makes for a nice solid piece. If you do it this way, then you can use a saw to carve out the little lines in between the pieces and not have to worry about cutting too deep.
Or you can get 4 equilateral triangles and 1 square (that has the same side length as the triangles) out of wood. You just attach all the pieces together. You can still carve out the lines on the sides, but now you run into a little more problem because if you mess up and go to deep, you have to start over. So instead, just draw in the lines.
Now you need a drill. Because you have to put the handle thing in. You can use a coathanger if that is easier for you, but I used some insulated wiring because it was thicker. You need some good glue to keep that handle in place in the holes.
For the eye part on the front, use your favorite modeling compound, clay, model magic, etc and put it on there.
When that's done paint the thing gold. Spray, handpaint, whatever you like.
Now how to wear it? You can either do rope version or chain version.
Rope is easier, but for those of you who choose chain, remember that real chain is heavy. And some people have an allergic reaction to the metal in chain. So the easy way around is to get plastic chain link (also easier to cut) and have it painted silver.