I am using .006" wire from Smallparts.com, it is extremely cheap at only a couple of bucks per 60 inches of straight wire. That should be enough to last anybody many years worth of personal needle use.
I mount them in regular old finishing nail shafts, after I peed the head flat. I flatten out the top to a curve with my dremel, then cut a slot in it. Then I hold the wire into the slot and crush it closed enough to hold the wire. Snip the wire to the appx. length I want with scissors, then I either hammer or use pliers to really crush the end holding the wire tip. I do all this with my glasses off, I'm extremely nearsighted so with them off I'm a human microscope

A bonus might be that this way, if I happen to wear a needle to the nub, the record will hit the soft solder first instead of the steel and won't cause any damage before I can pull it off.
Then I shave down the tip to the final length using a simple diamond dust nail file. This helps get past any fraying that might have occured when the wire was snipped. Finally I hold the needle firmly and stroke it back and forth relatively hard into the grooves of a junk record, while also rotating it, so I end up with a nice polished tip all the way around. The end is mirror shiny, and up close it looks like a flat cone. You can instead just run the needle on a junk record for a minute or two, but I prefer the needle be polished all the way around and not just in one direction.
A note on .oo6" wire... I find I have to make the tip a little shorter than one would typically see on a Tungstone needle, since they used more like .0065 or .007 wire. Tonofones used .007" My shorter tips hold up very well against bending under the weight of my Orthophonic reproducer. Less plays that way but who cares when the needles only cost 2 cents to make anyway. I still think I'm getting around 50 to 100 plays per needle.
Hope this helps anybody wanting to try making their own needles. I only started this because I have a Victor 10-50 with the changer, and I love the convenience of that changer! My needles are hideous and I'm sure there are better ways to make them, but they work for me.
Frenchy