I've been wondering about this myself for quite some time. I figure, if you can make some sort of mold, you could make a dildo in any shape you wanted. Making one's own dildo out of anything should be covered in a condom, I would think, to save your naughty bits the hassle of being injured.
I love the link for condom dildos, it's VERY interesting. The entire site is good, though, with the maxipad biscuits and muff pie. Homemade's the way to go.