G'day McRae, I'd second Matthew's comments about the lathe, unless you've got ready access to a blast furnace or other extreme heat source. 😉 The most common metals I've heard of to make a tamper are stainless steel, aluminum and brass as they are all fairly easy to machine and safe around food.
also, i have noticed that most machines dont mention whether they come with a tamper, is this because most machines cme with a tamper and they dont feel its neccessary to mention it or is it because they dont have one?
Most machines do come with a tamper, although it's usually a plactic piece of crap that doesn't fit the basket properly. Hope this helps, Steve.