Until recently I was using round dowels for the handles, until puppeteer Tom Fountain turned me on to square rods. Square rods give you a good grip, and a wide rage of manipulation possibilities.
To make a handle you will need a square dowel, a drill, a hammer, and bailing wire (or steel garden wire).
1) Cut two pieces of rod so that they fit comfortably in your hand (a couple of inches or so).
2) Drill two small holes, one just below the other, about an inch down from the top of the handle.
3) Insert the small 90 degree angled piano wire into the top hole, and hold it so lies flush with the dowel. Carefully pound it into place with a hammer.
4) Insert the bailing wire into the bottom hole and twist it around it's self to anchor it.
5) Holding the piano wire flush with the dowel, wrap them both with the bailing wire. Work your way up the rod keeping the coils tight and close together. Once you clear the handle, wrap the wire around the piano wire, about a half an inch.
Now you have a handle - your rods are almost done!