I have made one, using thin glass fibres from optical cable (not easy to find these days, modern fibres are mostly plastic and not thin enough).
First I had to drill the guiding holes (0.3mm drill) in the focal plane.
The fibres were glued in place with 5 min epoxy on only one end. They are straight enough and rigid so no need to stretch them.
In the past, people used spider fibres for the purpose (from young spiders, they are stronger and thinner).
The treatment with water makes them black, but I am not sure about details yet, I will investigate a bit....
Have a look at:
http://www.surveyhistory.org/cross-hairs1.htm
Bojan