I tried making a chess set once. I decided to start with the knights, because if I couldn't do the knights, I couldn't make a chess set. I don't remember what ever happened to that bizarre, jackal-like monstrosity, but I ended up being glad to part with cash to get something decent.
I don't think I ever could have managed to turn all the pieces sufficiently like each other to do a presentable job either. Making lots of identical turnings is really hard. Making itty bitty turnings is really hard too.
Having said all that, one single rook that is at least a reasonable facsimile of your other pieces might, remotely, be a possibility. Why don't you start with some good photos.
I just dug out my old Chess Board and am missing my Brown Rook. Its about 3 inches tall and wood. I am lookin for someone to make me a new one. Anybody got any help on this. Please and thank you..