Yeah, you could just go out and pick up some stones from the ground. It might be best to go to a field or forest area, which is more Natural and pick some nice stones up from there. You could carve/etch the Rune into the stone and paint it or fill it in with gold (if possible!) or something like that. After that, consecrate them, e.g. similarly to what has been said already, you could also or instead keep them under your pillow for a few weeks or months so that they tune into your energies so that they work for you. Keep them safe and clean, in something like a silk bag with a nice tassle which closes the bag at the top and one of those pressy stopper button things, or a loose knot which you can slide up and down, to hold it closed, or maybe a nice wooden case with soft sponge or other soft material where each Rune stone fits in, and keep this in your Occult draw or cupboard or wherever, safely and cleanly.
Instead of stones, you could use wood, or if possible metal/steel, or maybe glass... I think it would be best to use the same material/substance for each Rune. Each material has its own respective energies, so some might be and work better or worse than other materials for each Rune than others. Checking the Runes page, you can see which materials are good choices. I am not certain, but I think if using any material to paint/draw/carve/etch the Runes onto/into, then that should not interfere with the other materials used in conjunction with the Runes' uses, i.e. Lapis Lazuli, a stone, is used with ANSUZ; or Black tourmaline, a stone, is used with ALGIZ, so using wood for the Runes themselves might be OK despite these stones working with the Runes' energies respectively.
I said metal and glass as examples. I would think that using more Natural materials, rather than industrially-processed materials, would be much better.
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