Oh, it's super easy, I can instruct you right now! I't isn't nearly as pretty as the ones you can buy, but way more functional:
Go to Home Depot/Lowe's/Hardware store of your choice
Find the aisle with PVC piping - usually somewhere in plumbing
Purchase a length of pipe (I went with 3/4 inch diameter, go with your own preference) - if you're lucky, you can have someone there cut it for you, otherwise cut it yourself: A 18 inch length, and four 6 inch lengths.
Purchase two t-joints. They look like this:

Make sure you peek inside and assure that you're getting one that doesn't have screw threading.
Also, purchase a thing of PVC cement; it's usually right there near the joins.
Your 18" piece will be the centerbar of your niddy noddy. Fit the T-joints onto each end, and then fit the 6" pieces into each side of the T-joints.
It will look like a big white uppercase letter i.
Then turn one of the t-joins 90 degrees - and there you have the niddy noddy shape!
Then you just need to apply the cement to the joins where you don't want them to come out; I haven't done this part yet, but I don't doubt a little websearching, or asking at the hardware store, will yield instruction. Likely it's along the lines ofg just taking the piece back out, applying the cement, and fitting it back in and leaving it so it won't get knocked askew while it does it's thing - as I understand it, PVC cement causes a chemical reaction that essentially melts the plastic and fuses it all together, as opposed to just bonding the surfaces.
I plan to cement the t-joins to the center beam, but leave the cross-beams removable. They force-fit well enough, and if I need them tighter I can just stick a little piece of cloth around the pipe end when I slide it in. I go to a spinning circle every week, so I want to be able to break it down for portability. Also, leaving the crossbeams loose means that if you wind tighter than you intend, you can still get your yarn of by just pulling out a crossbeam.
One of the big bonuses of having a pvc niddy noddy, over one of the pretty wooden ones? You can wind off onto it, and then wet the wool to set the twist right there on it, already stretched, instead of having to find someplace to hang it.
Does this all make sense?