I use three different thicknesses of blue tempered spring steel shim stock from McMaster-Carr, .01", .015" and .02". For each different shape of scraper, I make one of each thickness. The .02" is a coarse, heavy, meat-eating scraper, particularly good for first passes on maple or removing lots of material. The .015" is an all-purpose, medium scraper, used 90% of the time. The .01" is a fine, finishing scraper, good for the final passes on maple and spruce and producing a perfectly smooth surface. Heres a link to the shim stock I bought: https://www.mcmaster.com/#shim-stock-sheets/=16rdr8y then click on "spring steel." One sheet in each thickness is enough for a lifetime supply of scrapers.
I first grind a 45º bevel all the way around the edge of the scraper. This bevel angle makes for a very sharp scraper capable of producing a thin burr and leaving a perfectly smooth surface. Then I hone that bevel using 1000, 4000, and 8000 grit water stones, including a few strokes on the flat between grits to remove the burr. Take care to hone all of the grinding marks off and produce a burr around the entire cutting edge with the 1000 grit before moving on to the polishing stones. It can be tricky to hold such a small surface at 45º at first, but it will get easier with practice. Make sure to finish with a stroke or two on the flat side using the finest grit at the very end.
Finally, I turn the burr with this burnishing rod from Ron Hock: http://www.hocktools.com/products/sb.html I never put a handle on it and it works for me just fine. Use a low, raking light so that you can see the burr appear as it is being produced. Use your eyes and steady even pressure to turn a small, consistent wire edge all the way around the scraper. An easy mistake to make is to use too much pressure or to go over the same area more than once, which will produce a burr that is hooked too far, making the cutting angle too steep.
Half the battle in learning to scrape is just getting the things sharpened properly. A beautifully honed, razor sharp scraper that bites greedily into a thumbnail and produces ultra-thin shavings (not dust) will make this a joyful, satisfying task. A dull, improperly tuned scraper will make for a source of endless frustration.
I'm out of the shop this week, but I will post pictures of the shapes I use when I get back.