Get a length of pipe that a shotgun shell will fit in - a slightly larger length of pipe that the smaller pipe will ride in smoothly, a cap for the larger length and a nail. Attach the nail to the cap - stick the cap onto the larger pipe. Place a shell in the smaller pipe and slide it into the larger one.

It's not hugely safe, mind - but it's doable. You can see videos on youtube of people, even kids, who've made them.

http://youtu.be/7Va87gB_4AI