You will need pins, (you can make or buy them. I get mine online or at shows at bands' merch tables) and plain adjustable rings from any craft store.
The rings that I bought had a ring on the top, so I slid that through the pin part.
Use a hot glue gun to glue the ring to the pin. You might also want to put a bit of hot glue on the pin closure to make sure it stays closed.
BAM! You have yourself a badass ring.
If the ring you bought turns your finger green then coat the inside with clear top coat nail polish.