Materials: You'll need to acquire some "friendly plastic." I got mine at a local costume shop last year. It cost about a dollar fifty per pack, and one small packet contained enough plastic for several sets of fangs. Friendly plastic is available at craft stores for (I think) even less than that. The stuff I bought was in the form of small pellets, about 3mm in diameter. I think craft stores usually sell it in small sheets about the size of a business card, but it's the same stuff. Make sure to get white unless you want some really weird-looking fangs, although I've seen it in glow-in-the-dark as well, which might be interesting. It may or may not be sold under a different name outside of the U.S.; if anyone can provide me with information one way or the other I'll include it here.
Once you have your plastic, you'll need to shape it into fangs. Friendly plastic melts quite easily in boiling water. Put a little chunk of plastic into a small bowl or cup and pour in enough hot water to melt it. The plastic becomes clear as it softens, so you'll be able to see when it's pliable. Take the plastic out with a spoon, divide it in half, and shape half of it into a teardrop shape, as large or small as you want the fang to be. Press the blunt end of the teardrop against your canine tooth, fitting the plastic over your tooth until it stays. You have a couple of minutes before it cools and hardens again. Shape the fang until it looks the way you want it to. Try biting down, very gently so as not to distort the plastic too much, to make sure the fang will fit with your teeth closed. Repeat for the other side.
It might take a couple of tries to get the fangs just right. The nice part is that friendly plastic can be re-melted any number of times, so it's easy enough to start over if you don't like the results. You may have to add more hot water to keep the rest of the plastic soft if it cools too much while you're working.
I've been told that you can stain the plastic a more natural tooth color by soaking it in tea -- not too hot, or you'll melt your fangs back down -- but I've never tried it myself, so can't say how well it works. The original white has always looked fine to me.
My fangs have always turned out so that they stay in just fine just by adhering to my teeth. If you've got anything really big or fancy in mind, or your teeth are shaped so that they won't stay in, denture adhesive should work.