Nowadays, it is usually cheaper to buy them than to make them. If you want to make them then much depends on the lathe. For mini-lathes, 6061 aluminum is fine. For bigger lathes, I should think 1018 cold formed steel would be sufficient. It is fairly low in cost, machines fairly well and comes in sizes that would suit your project. You can also case harden 1018.
You can also go with higher carbon alloys if you wish but since you are concerned with the modulus of elasticity of the material, steel is steel and money is money. I would go with 1018.