Do you want to build buy hand using hand tools? Or run them them thru a jig using drill/power tools.
Here is one a little different from the jig you will find on this site buy doing a search.
http://www.woodworkersinstitute.com/page.asp?p=977 Three Rivers has one you can use to make shafts buy hand, I have one and it works great for easy to plane shafts like dug fir or cedar. But not for the hard wood shafts.
I have the Lee Valley jig adcpo is talking about above, and like it a lot. Works on all wood types.
I make all my own shafts from parallel to footed if you have any questions you can pm me. Good luck
Couple of pictures
Realized you asked about sanding if you want to use sandpaper only to do the work dont have much for you but someone could possible figure out how to use one of the router jigs with a drill press sanding drum or spindle sander. Would go thru a lot of sandpaper. Again good luck let me know if I can help any.