This article explains how to make wooden vanes from small strips of hardwood veneer. The veneer should be relatively thick (1,5mm+) so that it can take fair amount of punishment without breaking. Also, if possible, use wood which is hard to split and has strong earlywood (spring growth). If the earlywood is weak, a thin pieces of veneer is very prone to splitting along it when being sawed or cut.
First take a piece of veneer and mark the to-be-vanes with a pen:
Then cut or saw the vanes roughly to form and set them aside.
Next mark the slot to cut to the bolt shaft and place it into a vise:
Saw the slot carefully with a coping saw or similar:
Degrease and/or sand the vane carefully and glue it to the shaft. A small vise works best for providing the necessary pressure to the gluing surfaces. Once the vane and shaft are glued together, attach the shaft to a vise:
Remove excess material with a (fine) coping saw and finish the job with a fine file:
You can also "sharpen" the front edges of the vanes to reduce air resistance.