I've met a few people who have forged their own and I've always been in terribly envious. I don't have a crafty bone in my body, so smithing my own is impossible even if I had or could borrow the tools. I'd probably come out of it with third degree burns
Recently I came across a page on a UK site where they were selling stone bladed athames. They were quite lovely and I suspect they were ground into shape from river rocks. I also know that there are sites that sell knapped flint blades and they might be suitable for an athame. I've also seen wood athames but I honestly am not certain what really separates them from wands other than name.
I'm still searching for an athame. Guess I'm just fussy!
Hearthwitch.