Anyone here ever make your own corncob pipe?

I have not.

If you’re handy with a saw and a drill, there’s no reason you couldn’t fashion a pipe bowl from a dried corn cob. The shank would have to be carved from wood and drilled out, and the bit?

Working with a hand drill, I’d drill the airway in the piece of wood for the shank before shaping it.

Parts can be made to fit together snugly without glue, the mortice and tenon joint on a smoking pipe is a fine example of this. I don’t know how well it would work for joining wood shank with cob bowl.