I make them out of dowels.
A table with a jig to hold the dowel and a stop block and you can cut dozens in just a few minutes.
To get colored pieces, I use stain or diluted paint, throw half the pieces in a bag or container, dump the stain, strain off the extra and wipe dry.
Another option is to paint a dowel, then cut the pieces. You end up with a nice colored edge and wood top.
I am the official game piece maker at school. Any time a game is missing pieces they bring it to me to fix.