Somewhat fiddly, but it can be done,
A copy of the two part whistling tips sold in archery supplies can be made on basic home/garage tools. They are basically a chamber at the front of the arrow with two angled holes to produce the scream. The trick is to build it robust enough to withstand the shock of release and impact without destrying itself or moving on the shaft and altering the volume of the chamber, and of course filling with mud/foam/straw etc.
There is an alternative that uses something like a ping-pong ball with triangular cuts but I've not seen any up close so can't offer any advice on how to construct them.
I might be able to post some close-up photos of mine tomorrow if they are wanted as a guide for someone to copy.
ATB
Ogri the trog