Scrap metal and paint:
Have a look at the way the metal is bent, because that is key to its rigidity. What I have is made of 6061 aluminum (scrap from work), not T6, fairly low quality sheet metal, .090 thick. Rattle-can paint so it won't get lost. Weight is abot 1.5lb, so it's kinda chunky.... but it's free.
I'm practicing on my millwork, so I made a spring loaded snap to retain the pick (which has a nifty hole punched in it by BD). You likely don't have a mill, so I recommend bending the metal around the axe shaft (as seen), and having some sort of hard-stop for the pick to hit when you slide it in. Retaining the axe can be done a number of ways, depending on your stuff:
-Leash: The simplest way would be to have the pick hit the hard-stop, and have the axe leash tie to the shovel in some way. May not be possible, so...
-Chord: Have a chord that ties the shovel to the leash mounting hole. Tie it nice and tight, or use a cleat. A clam-cleat would make it easier to assemble/dissemble than my snap-in, but plunging it into the snow may dislodge the rope from that kind of cleat.
You "could" drill a hole in the axe shaft, and use a thumb nut to engage the hole... however I get really leery about drilling up axe shafts, especially composite. You could use the thumb nut as a set-screw, drilling no hole in the axe... but again that could crack and compromise composite axe shafts.
Thought I'd share. I'd seen that these had been made by Chouinard in the past, but are hard to find. There is a plastic version on the market today, that gets crappy reviews.
Materials: You can buy the aluminum I used from McmasterCarr.com very cheap. You can also find deals on Ebay, people selling leftovers from larger projects. My sheet was 12"x18". If you want to spend $50, you can even get slabs of Titanium that will do the job for less weight. You want ONLY 6AL-4V Ti alloy (Titanium itself is soft, many alloys will buckle), at least .040 thick. This will be hard to bend, may require heat.
If you don't have a sheetmetal break to bend the parts, I use a bench vise with a couple of slabs of steel or hardwood to give it a wider bite. Use your mighty arms and a hammer to form it... it's not exactly that simple, but practice is the only way you'll get it!