This is a wind vane that I made for my Goat Island Skiff sailing boat which hasn't been launched yet. It's made from a couple of 5.5mm plastic knitting needles, hot melt glue, and some odd scraps I found in my garage. You can easily make one in about 15 minutes, and if you don't have anything lying around, check out your craft store where you should be able to buy the bits for a couple of bucks.
For the joiner you can use a ball pen casing, while a plastic bead makes a nice low friction bearing. For the vane you can use any lightweight material. Plastic meat trays or ice cream containers are some ideas. You will need to saw a slot in the knitting needle to hold the vane, and fix it in place with some hot melt glue
Whatever material you decide to use, make sure you balance it reasonably well. Mine needed a bit more weight at the front tip, so I used some black silicon insulation tape, but a few blobs of hot melt glue moulded around the tip would work well too.