Ingredients for solid/easy to make type:
These are not instructions to make a separating Rod with a hidden dagger, since it has a nasty tendency to want to separate unless you're constantly holding it at the joint. And it's hard to hide that joint if you aren't holding it there. These instructions are aimed for beginner types. If you are experienced enough at making props, then you wouldn't need an instruction manual to make the separating Rod.
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Basically you can make the entire thing out of wood if you have the right equipment.
And if you are using any of those power tools or an X-Acto knife make sure you have adult supervision.
I am also assuming that you have adequate reference pictures to make this item. I used the McDonald's Promotional CD as my reference.
Main Rod: Get a wooden dowel that is 7/8" to 1" thickness depending on what feels good in your hand. This should be at least 2 feet long (you want some leeway when cutting). You'll probably end up using only 1.5 ft.
Ball: There's two ways you can go. If you got good drills and wood cutting equipment, then get a wooden ball. You're looking at a 3-4" diameter siz for that. You can find that at a craft store. If you don't have that equipment, you're better off with a styrofoam ball. Just don't go hitting people with your Millenium Rod or else it will dent. The reason is because it's easy to stick the wings/rod into a styrofoam ball but unless you got drills and stuff, it's not so easy for a wooden ball. If you just sort of attach them on the ball, you run the risk of them falling off too easy.
Wings: Most people I see use cardboard or balsa wood (mainly since those are easy to cut with an X-Acto)
Use a modeling clay/paper mache of your choice to make the all the trim.
Don't do any of the trim until you're done putting the rod itself together though. If you go the all wood route, wood glue is a good choice. With styrofoam, don't use hot glue or any solvent type glues. It will eat up your styrofoam ball like nothing.