Also called a fingerboard. Besides keeping the work tight to a fence, they also provide effective anti-kickback devices (the thin "fingers" absorb the kick), primarily due to the angle of the "finger-tips".
I've got a few that are made out of birch plywood. They may not stand the test of time that Ed's has, but they came from left-overs, and work well. One of them has a handle on it that is comfortable to grip, and is used hand-held. Otherwise, a clamp can be used to fasten it to the table or fence.
Making one is relatively simple. For most operations, a piece of 3/4" mat'l is sufficiently thick (allthough some larger jobs may require thicker!) and 3 1/2" is adequately wide. The length of the fingerboard can be variable, depending on the specific application.... However I would suggest at least 10" (a large tablesaw would require a lot longer one!).
Miter one end of the board 30 degrees, and mark a parrallel line 5 inches away from the miter. Set your rip fence to make a cut 1/8" from the edge, and cut to the line, leaving your first finger (On the workpiece that is!.... not your bloody digit on the table!). Continue on, using 1/8" fingers and spacing (assuming that is the saw's kerf).
If you want a hand held model, this is the time to cut the handle (not before cutting the fingers).
Even clamped, featherboards can "walk" from their original location. To prevent this, a piece of emery cloth glued to the bottom of the board can help.
When using them, they are generalyy used on the infeed side of the cutter. Put the fingers flat against the stock to be milled, so that the angle between the featherboard and workpiece nearest the cutter is greater than 90 (actually 120degrees). Clamp it down and make the cut, without worrying that the stock will wander away from the fence.