We use metal training knives, you can epoxy a thin strip of sand paper on them and/or coat them with chalk or Lipstick.
This works very well, they hurt a lot when hit and most likely will cut you, it's more like a scrap but you respect it.
Here is the blade we use Ebay Black Metal Training Blade
The knife cost $5.00 plus shipping out of California. http://www.fullspeedcomputer.com/Files/trainer.jpg
-Well it won't let me post the pic so you can just click the link.
I have also spoken with the creator of the shock knife and one problem I have with it, in addition to what was listed is that you can touch a blade and disarm it with out getting cut. So the feed back may create some un-nessesary fear when dealing with the blade.