Cut two hollow steel pipes to 1-foot in length each. Acquire pipes that are 1 inch in diameter as this size will accomodate most weights. Use an angle grinder or power jigsaw to cut them to size. You may also be able to pick up some off-cuts at a steel fabricator for free.
Wrap foam or fabric in the center of both metal pipes. This will be the gripping area and should be no more than 4 inches in length. The fabric will help you grip the dumbbell, especially when your arms and wrists begin to get weak from working out.
Attach two hose clamps to both sides of the gripping area. Attach them tightly. They will prevent the weights from sliding onto the grip while you are using the dumbbells.
Slide the weights onto the steel bar. Weights can be bought at most large outlet stores or sport stores. Make sure that the hole in the center of the weight is large enough to slide over the bar. Try to get an exact fit so that they don't rattle when you use them.
Attach hose clamps to both sides of the weights. The weights will now be sandwiched between the hose clamps and won't slide off the bar mid-use. Do not, however, tighten these as much as the clamps beside the gripping areas, because you may want to remove them so you can change the weights easily.