The best advice I can give you is to get a sharp knife and start whittling. Getting the shape you want is easy enough, just don't make it so thin that it's fragile. Also, start with something cheap, a 2x4 in the backyard or something. Don't start with the expensive woods.
When you're done with the shape, go through the standard finishing procedure, (60 grit sandpaper, lacquer, 100 grit sandpaper, lacquer, 200 grit sandpaper, etc) Do this as high as you want to to get the level of smoothness/grip that you desire.
Fencing Club at UH