I run a used goods store and my favorite pastime is throwing stuff. Over the years (and much practice) I have come to the realization that you can throw, with success, pretty much anything somewhat pointy and hard. Like Watchful said, skewers work well. So does virtually any kitchen knife, scissors(tricky), pens, forks, screwdrivers, nails, dart heads, fondue forks, and my personal all-time favorite, that had me laughing so hard I almost peed myself, a Barbie doll with 'sharpened' legs... I was inspired that day.
All silliness aside, some better and heavier full tang kitchen knives work well as throwers with the handles removed and balanced with a little creative drilling. To answer the question, I agree with mwerner, grind/file nails or spikes purchased at a hardware store. They are cheap, easy to work with once annealed, and durable once hardened.
Befriend your local second hand store. You will be amazed at what they can supply you with.
Rob