1) Drill a pilot hole in the top of a handle
2) Insert screw and tighten with nut

simple tap handle by sleepyjamie, on Flickr
3) Cut the wood which will be used for the face of the handle (for a test run i simply used some cheap 3/8" plywood)
4) Drill pilot hole into the wood (ensure the pilot hole is smaller sized than your screw)

simple tap handle by sleepyjamie, on Flickr
4) Fit the wood on top of the screw. Secure with super glue if required.
5) Attach to tap

simple tap handle by sleepyjamie, on Flickr
It's not the prettiest tap handle but its really easy, especially if you aren't very good at wood working (for people like me). And it is really cheap. Most of the materials you can find lying around the house im sure.
For better results i would choose a better quality wood, maybe add some beveled edges and stain.