In my experience, the quality of wine corks varies greatly. Many are too crumbly to be decent fly material, or have inconvenient voids. So cork selection is the most important step.
After that, you need the tools to shape the cork. I have seen folks improvise a lathe from a power drill or rotary tool to get a round shape. If you're headed to District Angling, you can stop by Cherrydale Hardware to see if they have Dragon Skin or something similar for rough shaping.
Another way to do it with slices of cork, a la the Gerbubble Bug (google 'cork Gerbubble Bug').
Have fun!
Miles