What do I need to build a tap handle?

I made a few from different scrap pieces of wood and bought some chalk tape. I found the hardware at Lowe's. Check out my blog for pic and details.

I have always preferred the Chrome Ferrules over the brass inserts. For one it is easier to install the ferrules correctly. The inserts can sometimes go in a little bit crooked which really throws it off and then the handles is pretty much done fore.
With the ferrules it's just a matter of drilling a smaller hole and screwing in the bolt. Also I find the ferrules will go a lot longer before they come loose, if they do at all. Then it is an easy fix compared to trying to re drill a hole for a brass insert.
You can buy the ferrules and hanger bolts

Well...yes :)

If you want to have a ferrule on your handle like this:

then you need the hangar bolt and ferrule. The hangar bolt has 5/16"-18 male threads on the ferrule side, while the ferrule has 5/16"-18 female threads on the top, and 3/8"-16 female threads on the bottom.

If you want only wood at the bottom of your handle like this:

then you want the threaded insert (3/8"-16).

Protip: if you're planning on doing several, order your inserts in bags of 10 from a place like McMaster-Carr. It's a lot cheaper that way.

If you want to see how I make taphandles on my lathe, check out my videos here.