The absolute easiest way is to spend some time at hobbytown USA at the rocketry section. They sell rocket bodies and noses as spare parts. Find the right shape and length, then make all the fins out of polyply or similar. My problem is always finding a nose that looks like ordnance. You obviously have a lathe of some sort, so shaping one up should be easy.

That's it, I need to find myself a small hobby lathe!

David