Hi Dave, Chasing tools can be made from any steel that’s hardenable.
Old (or new) chisels & punches, exhaust & intake valves from car &
truck engines etc.
If you want to use new material, industrial suppliers sell drill rod,
usually in 3 ft lengths, and various diameters. It’s available in 3
types, water, oil & air hardening. For your application, get the least
expensive, water hardening. If you need shapes other than round, tool
steel is available in flat & other shapes of various sizes from the
same sources. The yellow pages will probably have a local supplier
listed. If you can’t find a local supplier try www.use-enco.com or
Unless you have a requirement for an unusual shaped tool or want to
use the exercise as a learning experience, it’ll probably be less
expensive to buy some ready made chasing tools.