There are LOTS of ways to make your own centerbands! Some of the best are noted above. I personally like loose centerbands - they just seem to go well with the way I turn. For that I use a 1/4" drill, and then just use that piece of wood (or whatever) in place of the center bushing, and turn it at the same time as the rest of the pen.
And just for the heck of it, I'll mention that there is an article right here on Penturners.org that does a pretty good job of showing how I do it!
http://www.penturners.org/content/aaw-winter03-36-41pens.pdf
Scott.