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Step 1: Go forth and gather! Ok, so onto a list of tools and materials. Most of this is fairly crucial to the project but should be in your toolbox anyhow:

Tools
Scribe & Centre punch- I actually made myself a set from some old, thick nails, but I also use some I found in my toolbox.
Ruler
Cordless Drill/Drill Press/Dremel/Hand Drill - as long as it can take a 5mm (3/16" or thereabouts) drill bit, you're good.
Drill Bits: 5mm (3/16")/3mm (7/64")- for use with above. Other sizes are always handy.
Tinsnips/jewellers saw/pneumatic press - essentially, something to cut your copper with. I found these to be excellent, but use whatever suits you the best.
Rubber/leather/wood mallet - to flatten out your copper without marking it
Metalworking file - for removing rough edges and cut marks. Dirt cheap, and ubiquitous at DIY stores.
Cross Peen hammer - you know the end of the hammer head you always thought was for use with tacks? Well, it's not.
Anvil/Metal block - For hammering on.I bought a slab (10x10cm) of steel, and use that. (Man, I wish I had an anvil...)
Propane Torch/forge/brazing hearth- a heat source, capable of annealing copper. You can get away with using a cooks blowtorch or a gas hob, but I invested in this as I do lots of metalwork at home.
Pliers (Needlenose, locking, rounded) - for manipulating the metal. I daresay you have at least needlenose pliers lying around, and you can manage with just them.
M6/M5 dies (optional) - for cutting the thread. I don't own a set of taps and dies, but I'm going to buy one. I used the ones my school workshop has, but if you can't get your hands on some, I'm providing a workaround as they are slightly obscure. A full set will cost a bit, but they don't wear out quickly, and are very useful.
Cutting fluid (optional) - this helps to make a nice, clean thread as well as prolonging the life of your tools.
Metalworking Vise - ideally with some softgrips so you don't mark your work as much.
Ballpeen Hammer - with a rounded head to make rivets.
Wire Brush - one with a toothbrush sized head works best.
Sandpaper (100/220/500 grit) - I use a mesh type sandpaper, as it is very flexible and doesn't clog
Steel Wool
Buffing wheel/attachment for drill & buffing compound (optional) - I have a combination electric grindstone/buffing wheel that I use to get a beautiful finish on copper quickly, though you can do it by hand

Right! Now that you've worked your way through that rather long list of tools, we can move on to the materials you'll need.

Materials
50x225mm of 1.2mm/16oz Copper Sheet - if you can't get hold of this locally, there are plenty of suppliers online - this is what I use, and it is enough for two flowers with spare. Alternatively, reclaim some copper by opening out some old copper tubing and flattening that out.
2x Steel M6 hex nuts - very common, and very cheap. Keep a couple spare, in case something goes wrong.
200mm of 6mm/ 3/16" silver steel rod - you can use mild steel rod (cheaper, and more common) but silver steel is harder; whilst this makes it more difficult to work (cutting threads takes longer) it also means that the thread is much neater and better for what you're gonna use it for.
OR, if you haven't got access to a set of dies,
Brazing rod/brass rod of a similar diameter - this is for the workaround step. Brass is one of the few metals that's really soft enough to be cut without using a die (but more about that later). You can find this in most hardware/ironmongery type places, or online.
2x Steel M3 hex nuts

I happen to have the last three things lying around at home or in my school workshop, so I didn't put links as to where I got them from - if you do happen to fund a good source for some, just put it in the comments and I'll add it in.

Finally, we can begin work.

STEP 2 MARK UP

Ok, so you've gathered your equipment, and bought/salvaged your materials. Now, turn on some of your favourite music, grab a drink, and get to work on this first stage.

Take your copper sheet. Remove any protective plastic so that you are faced with a clean sheet, and mark one edge every 50mm (~2"). Repeat on the other side. Using your scribe and a ruler, draw lines across the width of your copper to divide it up into four 50x50mm squares, with one 25x50mm rectangle left over.

In the photos, I'm going to be making two roses (to demonstrate the normal method, and the workaround method) so don't worry if what you're doing doesn't match up exactly - though everything should be obvious enough.
(it doesn't really matter how you do this, as long as you end up with four 50mm squares, and one 50mmx25mm rectangle)

In order to find the centre of each piece, join the corners up with a ruler and, using a centrepunch and hammer, mark where the lines join. These dents allow us to drill the holes we need without the drill bit slipping too much. Then, using your 5mm (3/16") drill bit (3mm (7/64") if you're using brazing rod, as that's roughly how thick it is) drill holes in the centre of all of your pieces. I tend to use my 2.5mm bit to drill pilot holes first, as I don't want to wear out my 5mm bit too quickly, but it's up to you. Go slowly, and make sure your work is firmly clamped to a piece of wood to stop the copper bending. I improvise a good clamp by using some cheap g-clamps and my 'anvil', and that helps to secure the metal without leaving marks. File off any rough edges from the drilling.

Step 3: Cut

Using your tinsnips/preferred method of cutting, cut out all the pieces, so you end up with four 50mm squares, and one 50x25mm rectangle. Using a file, remove any sharp edges/cut marks, and you should be left with your copper blanks ('petals'), each with a hole in the centre. Check that your rod ('stem') fits cleanly through.

Cut all the corners off each blank. You want to remove enough copper so that you end up with something that looks like this:

For the square pieces, make cuts from the centre of each side towards the centre that come to about 5mm from the hole. Much closer, and the copper will break at these points - any less, and it'll be hard to shape the petals. If you're using good tinsnips, the copper will naturally bend up, so you get something like this:

Remove the corners that you have now exposed, to create four individual petals. File all those new cut edges to remove any toolmarks. Then, use your soft mallet to hammer the copper flat. It doesn't matter if the petals overlap slightly, we'll sort that out later.

For the rectangular blank, make a tiny cut from the centre of the long edge towards the hole, giving the same 5mm clearance around the hole. Then, remove the corners you've created to make two triangle shaped cuts. Again, file the cut edges and hammer flat.

Step 4: Hammertime

Grab your crosspeen hammer, and turn it over so you're using the flat (regular) side. Using firm, regular strikes, hammer the edges of each petal thin, on both sides - you want to make them so that they can be easily curled at the edges. It doesn't matter that much if you mark the copper, as we're just about to start texturing it.

Now, flip the hammer over so you're using the crosspeen head. Begin to strike the edges of the petals, to create a series of radial indents that all point towards (or thereabouts)  the centre of the petal. This gives each petal a nice texture. Don't worry about texturing the centre of each petal, as it won't be seen. It's important to be brave here and strike quite forcefully - you're looking for something that looks like this:

Only do this for one side of each blank -there's not much point in doing it to both sides, and by trying to do it to both, you'll end up flattening out the other side.

Undoubtably, your petals will now be slightly overlapping due to the copper being spread out slightly over those cuts you made. This will prevent us from shaping them easily, so we want to remove that overlap - simply use your tinsnips to make those cuts again, in the same places, and the overlap will drop off and the petals should be nicely separate.

At the end of all this, you should end up with 5 petals, almost ready to be assembled. Now to make them soft...

Step 5: Annealing

Quick word about copper, and work hardening. Copper is one of a few metals that the more you work, the harder they become, and the more brittle they are. This isn't great for us, as we want to bend all the petals and shape them a lot, without them breaking. Fortunately, copper is very easy to get back to its malleable, soft, state via a process known as annealing.

To do this, heat your copper  with your torch/furnace until it is an even cherry/brick red, noticing the amazing colour changes that occur along the way. If you've never done this before, do it in the dark so you can easily tell when it changes colour. It's quite tricky to melt copper by accident - just don't heat it unevenly, or leave it in the forge too long, and you'll be fine. Maintain that colour for a couple of seconds, and then either leave it to cool or immerse it in cold water  - surprisingly, quenching it like this actually makes it easier to clean as lots of the oxide flakes off in the water. 

The more times you do this, the easier it is to judge when the colour is just right and how long it takes to heat it to that state - practice, and you'll be doing it in no time! 

Clean your copper up with a wire brush and some sandpaper (I go all out and use my burnishing wheel, even though it makes the shaping trickier) and set it to one side. This is the last time you can clean/polish up the middle parts of the petals, so take the time to get them looking nice. Alternatively, you can leave them in their oxidised, reddy/brown state - that looks nice too. That's the petals done, so begin work on the stem.

Step 6: Stem and threads

(Skip to step 7 if you couldn't get your hands on some dies)
Taking your length of steel, grind a slight bevel on end end using a file or an electric grindstone, should you have one. This is to get the die to grip the steel and makes it easier to start cutting the thread.

Take your M6 die liberally paint the inside of it with cutting compound. This makes life a lot easier. Secure your length of rod in some softgrips in a vise, and start to cut your thread. If this is your first time, I cannot recommend more practicing this over and over again - it must have taken me 4 goes to learn exactly how to cut threads, and a bad thread cannot really be salvaged. I recommend going one turn clockwise, then half a turn back, then one turn forwards, then half a turn back etc, as this help keep the thread neat. If you're using silver steel, this can be quite tough work, so take breaks and go carefully. You want to end up with about 50mm (2") of thread on the end of your stem.

Take one of your hex nuts and screw it on to the thread you just made, until it reaches the bottom. Make sure to tighten it as much as possible (I use my locking pliers to get a really good grip) - you want to get a nice, secure platform for those petals to sit on. If you wanted, you could run some JB Weld (or any other liquid weld) into the threads on the nut beforehand, so that it glues in place , but I never bother. 

Now, skip ahead to step 8.

Step 7: Alternate Method

So for those of you unable to get your hands on a set of dies, we're going to improvise. The aim of this is to cut a thread using your hex nut (steel) on the softer stem (brass). I'm assuming you use brass rod of roughly 3-4mm, and a hex nut that's a size too small.

Take your brazing/brass rod and file/grind a point on one end, to allow the nut to slip on easily to get it started. I actually put some cutting compound on the inside of the nut, just to see if it would improve it's cutting ability, and it seemed to improve how well this worked.

Then, using either a spanner (tough) or a socket wrench attachment for an electric drill (easy), tighten the nut onto the rod whilst steadily applying downward pressure. It'll be very hard going by hand, so I highly recommend the latter method. Eventually, you'll notice that the nut is beginning to cut a thread - continue until you have ~30mm (1") of thread on the rod. I actually remove the nut at this point and replace it with a fresh one, but you can leave the original one on.  You're done! 

Whilst this will (and does) work, it doesn't give a high enough quality product for me, as the thread you cut is very rough and weak. You could use JB Weld to affix the nut, or solder (silver solder) it in place for a stronger join.

Step 8: Assembly

Ok, so you should now have all your copper blanks, and a stem with a nut on it. Assembly is not as simple as you might think...

Having cleaned your blanks to your satisfaction, take your first square, and thread it onto the stem. Take your next one, and repeat, but align it so that it's petals cover the cuts in the square below, and only overlap slightly with the petals below them, like this:

This is very important - if you don't do this right, you won't be able shape the rose later. Take the next square, and align it with the first. Then, align the fourth with the second. Finally, simple thread the rectangle on top - it doesn't really matter about alignment, though I make it in line with the third out of habit.

You should end up with something like this:

To finish off, thread your second hex nut on top and tighten it down so that the petals begin to buckle slightly and the nut is very tight. Don't tighten too much, as you could damage the copper. Make sure to keep all the petals in their correct alignments -after the next step, you can't change where they are.

Step 9: Riveting!

So, I'm gonna assume that you've now got roughly 20mm/ 1" of threaded stem left on top of your last nut. Using a hacksaw or a file, trim this down to about 4mm/0.25", and clamp your flower securely in some softgrips. 

Now, take your ballpeen hammer, and begin forming a rivet. Once you have done this, you cannot change the arrangement of the petals. To do this, forcefully strike the edges of the stump of thread, using a regular vertical hammering motion, until it starts to mushroom and form a rounded half-sphere. Continue striking until the bottom edge of this rivet is flush with the top of the nut, locking the nut in place.

Awesome! So close to finishing, it's unreal.