Squirrels are tough critters and in my opinion require a combination cutting edge and blunt to most effectively take them quickly and humanely. I have experimented with several different ways to make these heads but the followng is what I have used most for the past 20 years or more. They can be made quickly once you have made a few, are relatively cheap, and very effective on squirrels as well as other small game.
If banding material cut to triangular shape is used instead of the Bear inserts as shown here you will need to cut your slot in the shell casing a little deeper and either epoxy or pin (or both) the blade to the head. The advantage of the Bear insert is that if one is broken or lost in the field you can quickly replace it and keep using the head. Always carry a few extra inserts with you while hunting.
Epoxy or hot glue a .38 or .357 shell casing (without primer) on an arrow. With a good hack saw blade cut a slot in the end of the casing to a depth of 3/8". Using a standard screwdriver and hammer make an indentation on each side of the shell casing 5/8" below the head of the casing in direct line with the slot you have cut. You want the insert to extend past the head only far enough to break the squirrels skin. If it is extended too far it will not be very durable and if not far enough it will not puncture the skin.