There's at least two styles I know of- one with a shot bag, the other with a little chunk (piece of bar). The bar is obviously stiffer. I made shot bag saps, and here's how:
Get a shape and determine how much shot you'll need. I arbitrarily determined that a standard shotgun shell (#8 shot) would be a good amount. Make a bag out of scrap fabric for the shot, fill, and sew it closed. Sandwich the shot bag between the pieces of leather, stitch it up, dye and finish. The ones I made looks like a realllllly long necked light bulb, and I added a strip of leather down the handle to make it stiffer. A hole in the handle end makes a point for a lanyard. Because of the shape, I made the shot bag pretty flat, and included a welt around the 'head' to help make a pocket for the shot bag.