May well have already been covered but I thought I would share a method that I experimented with this weekend to make the friction drive wheel for an extruder. Based on some reprap research, looks like people are using the hob method (use a threading tap to hob teeth into a bolt...sort of like hobbing a worm gear) and others, using a press in insert that has gripping ridges.
I have a CNC taig mill with a fourth rotary axis (I built the rotary access...hobbed the main drive gear using a tap). My approach was to chuck the axle rod (bolt equivalent) in the rotary axis and mill a groove into the circumference of the axle using the edge of a simple straight 1/8" endmill. Looking at the end of the rod, the mill "kisses" the rod at 45 degrees so it results in a groove cut with an included angle of 90 degrees. Cut one groove, rotate the rod axis and repeat until you go all away around the circumference. For this test, I milled grooves every 10 degrees on a 0.25" diameter rod to a depth of 0.015"...so a total of 36 grooves. The attached pictures show the test cut and the mill with rotary axis. The resulting teeth are very sharp and straight...I worry a little about the hob approach since it generates a spiral cut...does it tend to twist the plastic filament? For the real extruder, I mill mill into stainless steel for wear...brass was just easy to cut for a test.