As a startup prototype lab, it's pretty common for us to spend time making tools to make a tool to make a part. I was in need of some new machinist jacks to help as workholders for a client.
There are lots of ways that you can make these. The vast majority are just round stock, drilled and tapped, then with a cap that is from the same stock, threaded and made to insert in. Simple is great, but I wanted something a bit more.
The bases were originally round stock, drilled, tapered and internally threaded. To be able to hold them in a vice, I surfaced six sides to create a hexagon. The thread runs cleanly through to be able to mount them straight to a t slot in a work table via a t slot bracket with a threaded 5/16 20 rod on it. The heads came from the same stock, surfaced and knurled at the lip to make finger adjustments fast. Below the face is a 1/2 square to allow a box end wrench to fine tune them once a piece of material is on top. Then they are threaded to match the bases.
These are a great beginner project and you can handle many of the steps in different ways to learn other techniques.