Missiles can be made from various sizes of hardwood dowel cut to length and shaped as needed. I've done Sidewinders and Sparrows this way, it wouldn't be hard to do WWII and Korean era rockets the same way. Fins can be made from balsa, thin ply or styrene plastic. Plastic beads from Wal Mart can be used to reproduce seeker heads on the IR type missiles.

Bombs and drop tanks can be made from craft foam available at hobby and craft stores. It comes in differents shapes--cylinders, cones, etc. Glue what you need together and shape as needed. Finish with thinned epoxy, sand and paint as needed. Again, fins from scrap balsa, ply or plastic.

The best part of all of that--cheap and light!