Hi Roger,
I used to make my own floats too with balsa wood, sarcandas reed and peacock quills. I used to "turn" the balsa on a drill after mounting it on a piece of reed by using a combination of abrasives and a stanley knife as a sort of skew! I think I might still have some of the raw materials kicking around somewhere.
The balsa is very easy to shape and sand smooth. Give it a couple of coats of cellulose dope or sanding sealer before painting or varnishing, it hardens the wood a little and stops the paint soaking in too much.