Given the proper tools and the right wood, you can make your own saddle pins for an acoustic guitar. If you have never used a lathe, you'll want to read up on the techniques required for turning small objects. Start with inexpensive hardwood pen blanks so that you are not spending a fortune on exotic woods while you are learning. Try different woods so that you get a feel for how the turning chisels cut different grains and hardnesses.
Mark a piece of wooden pen stock into 1/3 lengths and cut with a fine handsaw.
Set up a mini wood lathe at mid-chest height. Screw or clamp it down to a sturdy, stable surface. Center-clamp a cut length of pen stock between the spindle points and edge-clamp the stock on one end to keep it from slipping as you work it.
Turn on the lathe and adjust the speed to high. Round off the stock corners with the 1/8-inch chisel, feeding the tip to the wood very slowly while resting the chisel on the tool rest.
Use an existing saddle pin as an example as you turn each section. Turn the block to a cylindrical piece the diameter of the pin head. Use the skew chisel or the diamond-point gouge to fashion the semi-spherical pin head and the groove between the pin head and shank. Use the standard round-tip chisel to turn the pin shank into a taper that fill fit the guitar saddle string hole.
Free the pin work from the lathe and clamp it inside the rubber-lined jaws of a small bench vise. Use a fine, small saw to separate the pin from the leftover wood at the ends. Use a riffler rasp or needle file to make the longitudinal groove to accommodate the string along the pin. Smooth the work with sandpaper.
Do not attempt to turn burled wood into pins. Pins require strength along their length. Dense woods with a straight grain are best. The average pen blank should yield three saddle pins. You can stain or oil the turned pin for a finished look.
If you feed the chisel into the wood too quickly, you can sustain injury as the work flings the chisel or the wood breaks.