They draw and cut out the shapes from cardboard. We use this cutter and it is much easier than wrestling with scissors. After cutting, they cover their weapons with duct tape (and sometimes tin foil), build up the weak spots and make adjustments. That is it. The swords, battle axes, and shields are not the only inventive aspect of this play, so are the deep, engulfing tales they create.
Do your kids battle? Do they make their own weapons?