Here's what you need (can all generally be found at the hardware store):
Block of clay ($5-15)
Bondo Fiberglass Resin (Get the gallon $20-25)
Extra Fibergass Resin Fixer ($2, get one or two extra per gallon of resin)
Play Sand or fine Sillica sand (better) $5
3/8" Washers ($0.05)
3/8" Mason drill bit ($4)
Step 1. Get a big block of clay (6" x 6" by 12", 20lb?). It doesn't have to be too quality clay (like for pottery), because you won't be baking it. Find a commerical hold and cut a slice off of the clay deep enough to accomidate the depth of the hold. Push the hold strait down into the clay such that the back of the hold is facing up. Alternatively, create a free formed depression in the clay and add texture to it with a commerical hold (the texture is important!). Then, carefully remove the hold from the clay. Try not to smudge the texture off, and fill in any creases that will translate into sharp bumps on the final hold. If the plug from the bolt hole breaks off and stays in the commerical hold, make a new one by rolling a peg. Finally, place a 3/8" washer on top of the bolt-hole peg (this is also important!).
Step 2. Now comes the fun part: mixing up the bondo resin. This stuff is STINKY, so do it outside or in a ventilated space and definitely wear some sort of respirator. Another good thing is to use a fan to blow the fumes away from you. Estimate how much sand would fill up the entire mold, and roughly measure that volume of sand (in ounces). You will then mix up the right amount of bondo fiberglass resin to match the quantity of sand. You want about a 60% sand and 40% bondo mix.
Start by mixing the resin and the fixing agent (drop by drop) before adding the sand. It is important to measure the volume of resin carefully so that you can calculate the right number of drops of fixer to add. The more fixer you add the faster the holds will setup. I generally use the amount suggested, but try not to use less. Work fast now, as you have about 15 minutes before the resin begins to setup!
Step 3. Now pour the mix into your molds. It is good to have some small holds or jibs around just in case you have too much mix. Pour up to the top of the mold.
Step 4. Now take a drill press, or hand drill with a 3/8" mason bit and drill down past the washer and though the starter hole created by the "bolt peg" referred to above. Let your hold harden for a few hours, bolt it up on the wall and climb on!
A gallon of resin will make a LOT of mid-sized holds. I think it ends up costing somewhere around $0.25-0.50 per hold.
The extra fixer for the resin is key. They do not ship the gallon with near enough.
You can make swirled holds by making up two mixtures of sand-resin, and pouring them into the mold at the same time. Just make sure the mixes have about the same amount of fixer in them.