Step One, buy sais from Muerte. 
Step Three, profit. 

Kidding. 

Ok, how to make sai-> 

I used 1/2" diameter pvc for all of it. You'll need about 6 feet for a pair. You'll also need two 4-way 1/2" pvc connectors. You'll have to put some thought into how long you want your sai to be. Actual sai run between 18 and 21 inches long. Amtgard versions tend to run big, mine are just under 2 feet. Cut the main tine and the handle of the sai to your preferred length, and insert into the 4-way coonector on opposite sides. You can use pvc glue if you want- I did, though it use was limited. Use long, narrow strips of duct tape to secure the tine and handle in place. Wind them around, and in figure 8's around the crosspiece and the tine or handle- it will help support them. 

After cutting the side tines, you will need to bend them. My sides started out almost the same length as my middle tine. Then I bent them over a hot stove, slowly, a little bit at a time, cooling with water in between heating sessions. The best way to assure even heating over the area you want bent is to pass it over the heat, back and forth, at a medium pace. 

If you do this right, you'll get a nice even bend over the length of the bend, with no black crackling of the pvc. Basically, the pvc should get a little bendy in your grip, enough that you can bend it with a little effort. If it gets too bendy, you can feel it getting sloppy and drooping. Avoid this. Right after that, the pvc can start to burn, and that's no good. If you do get a little black spot or even a small hole in the piece, that can be ok. But realize that later down the road it's likely to crack, and you'll have to replace that part. 

Affix the tines in the same manner as the previous two parts. But use a crap load of tape as you don't want the side tines rotating around. Also, make sure the dend is big enough to admit a sword, but not a neck. Obviously, they should point in the same direction as the center tine. If you want a jitte instead (one tine up, one down), the solution is simple. And just make the downward-pointing tine a little shorter. 

I padded them with copper pipe insulation covered with a nice layer of open cell foam. Whatever foam you use, I reccommend a healthy dose of open cell foam. They are bludgeoning and piercing tools, and will smack things a lot.