I slip a .38 or .357 casing over the end of 11/32 wood shaft, cut about a 1/4" slot in the end with a hacksaw, then glue a triangular piece of banding steel in the slot. I usually give that piece of banding steel a crude sharpening before I glue it in (dremel works good).
There's several good small game heads out there you can buy (I like Ace hexblunts), but if you really get into squirrel hunting you'll quickly realize the need for economy in the making of your squirrel arrows (you'll go through a lot of them!).
I like to use regular fletchings also. Squirrels are real good at jumping out of the way of incoming arrows, and whether it's the loss of a little speed or the increased noise level of the big feathers, I have never had as good of luck with flu-flus.