If you really want to make your own pieces, you will need to go to your local Hobby Store and get some materials and advice to cast your own plastic or metal miniatures. So head down to your neighborhood Hobby Store anyway and find out what miniatures they have for sale. You can also use plastic miniatures but they are harder to find, especially the artillery pieces. There is an alternative to miniatures. You can make the pieces out of wood blocks.
Hard woods are generally better to work with then soft woods.
I would advise against balsa wood. Use the square rod to cut out cubes representing infantry. If a triangular rod is too hard to find, you can take an infantry cube and cut it in half diagonally across one of it's faces. After the pieces are cut out, sand them down to a smooth finish. Next you will need to paint them.