I've posting litle tidbits of this elsewhere, here is an example of making the pins with an HLS model two bridge (Sorry about the UFO/Sasquatch style pics):
Modifying Accoustic bridge pins (the easiest route to making string locks)
The above picture kind of says it all. The pins need to be cut down and fit to size. Just shoving them in there you get the idea of what the end result is, the string will no longer be free to move.
I shove one in and hold another one up to it to see how much needs to be cut off. I then just cut them with a pair of side cutters and sand them to clean them up a bit. I use an exacto blade to take off the pair of ridges at the top of the pin under the ball, so it goes in as far as it can for clearance issues.
The pin will sometimes need to ba re-tapered at the end, Just hold sand paper in your fingers and twist to make the end smaller.
Here is a pic of what the pin looks like cut to size.
You can still see the ridges on the modified pin as I haden't removed them yet.
All that is left to do is to test fit:
This is a before and after pic.
The string should no longer be free to move at all. You can adjust the length shorter to get the right fit. But if you go too far you're beat and you will have waisted a pin.
All that is left to do is make sure that the pins don't hit the back plate when everything is together.
You don't need to take the bridge off of the guitar to do this, I just happened to have one laying around.
That's it, just make all six and you have a $5 set of string locks.