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Below is a number of techniques that i have used when i have made my rockets.

Paper-mache

I know - this sounds like something kids do in kindergarden.

But paper mache in fact, makes a very light weight and sturdy nose of any shape you want. And last but not least it is CHEAP - a little glue, some styrofoam and a couple of pages of newspaper of your own choice.

Tools needed:

• Very sharp knife. Exacto-knife or similar.
• Small paintbrush.
• Wood- or paper-glue. A water-based glue is easy to work with.
• Newspaper. As few fotos as possible are best; finance or tv program-tables are good for rocket noses.
• Styrofoam. Either a large block, or several smaller ones

Procedure:

First you need to make the blank out of styrofoam. I forgot to take pictures of the process, but here is a few tips:
If you don't have a big enough peice of styrofoam, glue a couple of sheets or blocks together so you can make a blank template for the nosecone.
Cut the general shape with a sharp knife. If it is very sharp, you can easily cut the styrofoam, but as the knife gets just a little worn the foam starts to peel. No worries there, but the smaller pieces will stick to everything and a mess quickly develops.
Get as close to the final shape of the nosecone as possible, but a few millimeters smaller. This will save work in the end, and keep the final weight to a minimium.

I then glued a ring, cut from the side of a plastic bottle to the bottom of the blank. This provides a stable base, and make the nosecone easy to attach to the rocket.

Then prepare the paper. Newspaper has quite long fibers than are mainly arranged along one axis of the paper. Tear the paper into narrow strips along the fibers, and tear the ends off each strip. Tear the long strips into shorter ones to make them more manegable. By tearing, you avoid the sharp edges that that cutting would leave, and makes the paper blend better into the shape.

Now it's time to start the glueing: If you use a water-based glue, you can thin it with water about 1 part glue to 5 times water is fine. Then use the brush to "paint" a little glue on the blank, add a strip of paper and repeat - many times! Make sure each strip is completely soaked with the water/glue mix. When you have added about one complete layer, it's time to let it dry. The wet glue on the styrofoam blank makes the paper slide around a little, so to make things easier, leave it to dry before going further.
This shows the nosecone from below. You can see the plastic ring at the bottom, and the styrofoam blank, covered a layer of paper mache.

Here, i have added another layer of paper strips to the nosecone. Give the entire surface a light sanding between layers. That smoothens rough edges and makes the surface bond better with the next layer.
The sanding dust consists of fine paper-fibres and if you save it, it can be mixed with glue to form a rock-hard filler similar to cardboard to fill holes and imperfections.

Make sure that you lay the strips of each layer in a new angle. This makes the nosecone more rigid and less prone to damage from hard crashes.
Once you are happy with the amount of paper used, let the nosecone dry overnight in a warm, dry place. When it is completely dry, it will be light and very hard. If you are not satisfied, you can easily add another layer or two.
This nosecone took about 2 pages of newspaper.

When you have a rigid, hard and resonably smooth shape, fill every void with fine sanding filler. I have simply covered the entire surface with a thin layer.

After a thourough sanding, almost all of the filler is gone. The filler is heavy and without much strength, so do a good job with the paper mache first, and use the filler only for the final cosmetics.

After a coat of primer, the nosecone looks less like some accident and more like a nosecone.

Now it's time for a spray of paint. Using a waterproof paint ensures that it will not dissolve on contact with rocket-fuel (water), and will add a good wow-factor to your rocket.
Cutting away the inside styrofoam, makes room for parachutes or avionics, but makes the nosecone a bit less rigid.

The final result.
Using red and white spray paint, and a bit of masking-tape, i have given the new nosecone a high-visibility chequered paintsceme.

Robinson Coupling

http://dogrocket.home.mindspring.com/WaterRockets/coupling.html
The description will be here with photos

Removable fin set

Having the fins as a separate part instead of mounting them directly onto the rocket body will allow you to easily put them on another rocket, or to replace them if they are destroyed in a crash.
Mounting them so they are stiff and straight is key. If the fins are not aligned with the rocket, it will spin or turn and add extra drag. If the fins are not stiff enough or are not mounted rigidly, they may flutter and that adds a lot of drag, and lower their effect as stabilizers.
I have chosen to mount my fins on the cut-off top of a pet-bottle of the same kind as those used for the rocket body. I have made this, so it ligns-up with the flange of the bottleneck of the rocket body. This leaves a small space between the body and the inside of the fin-mount. I've used this to add a second glue-point to the fins that are mounted in a slit in the fin-mount. So my fins are glued to both the inside and the outside of the fin-mount.

Procedure:

First you need to design your fins, use some of the calculators to determine if they are large enough to keep your rocket stable, and your own judgement to determine if they look cool enough ;-)

Cut the top off a bottle, and cut the neck off the top as well.
The amount you cut off is dictated by your launcher and your rocket. Some launchers does not allow the rocket to protrude below the nozzle, and some require that the flange is exposed so the launcher can grip it.

This photo shows the fin-mount on the rocket body with a gardena-style nozzle.
You can see that it is aligned with the bottle-cap, so it allows me to screw the cap on and off. You can also see the airspace between the fin-mount and the rocket body, that i am going to used to glue the fin on the inside.

Now cut the slits for the fins. This should be about half the length of the fin-mount, and placed so the internal space allows the fins to protrude inside by a few milimeters.

I am going to mount 3 fins on this rocket, so obviously i need 3 slits. Be sure to make them the correct width. The fins should only just be able to sit in the slits.

Now make the fins. I use corrugated plasticboard; this has many names and brands. I got mine from a poster that some visiting circus forgot to take down when they moved on. It is 2.6mm thick, but you can get it in a wide range of thicknesses.
I traced the contour of the bottle and added a protruding "thongue" that will fit in the slit in the mount.

I have aligned the trailing edge of the fins with the direction of the corrugation of the plastic. This allows me to make a nice tapering trailing edge on the fins.
Cut the rear two or three ribs lengthwise and apply glue to the inside so you can stick them together.

You need some means of holding the edge together while the glue dries, so it will form a good taper. I use a book. Jam the trailing edge into the fold of the book (an IKEA catalog in this case) and close the book so it stays in place.
To avoid spilling glue that would stick the fin to the book, you can use a piece of wax-paper (baking sheet). Fold it in half and place it in the groove of the book before you put the fin in place.

Here, you can see the tapering trailing edge after the glue has dried.
I put a strip of tape on the leading edge to round it somewhat, to improve aerodynamics further.

This is a close-up of the fin's inside edge - in effect a lenghtwise cross-section of the fin.
I have outlined the shape of the fin in red to show the rear taper (left) and the front rounding (right).

The plastic is very smooth and glue may have a hard time sticking on to the fin. To combat this, you can make a series of holes where the fin will be glued in. I used a needle, heated in a candle to melt holes in the corrugated plastic.

Apply glue to the inside edge of the fin, but not on the protruding tongue, as this will not contact the mount anyway.

Put the fin in the slot, and make sure the glue is in contact with the fin-mount along the seam. Do not use too much glue here. More will be added later to give further strength.
Leave the glue to dry.

Once the first glue has set, add a line of glue to along the fins inside the fin-mount. Make sure it contacts both the mount and the fins, but resist the urge to use too much glue. This will just make the assembly heavier than neccesary.

Add glue to the outside edges also, and smoothen the glue with a gloved finger, wet paper, spatula, or other means. This will make the glue into a nice and smooth fillet, and support the fins well.

Here is another view. The smooth fillets are more visible.

Now make a fin-jig. The fins should already be aligned along the fuselage of the rocket, if you have made the slots carefully. To ensure that they are evenly spaced and perpendicular to the side, we need a jig. It consists of a piece of cardboard, with three slots for the fins, and a circular hole in the center for the fin-mount.

Place the newly glued fin assembly in the jig, and make sure that everything sits straight. Then leave the whole thing to set completely.
Now you have a rigid and durable set of fins, that can easily be moved from one rocket to another in case one gets destroyed, or rebuilt.