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How do you build them? The obvious start is getting some skulls, but beyond that, how do you get them flying, and which bits do you attach to make them probey?

If you are talking about servo skulls, probably the easiest way would be to mount a skull on a small flying stand. The same ones the Tau drones use.

Get skulls, get guitar wire. Cut the guitar wire with wire cutters (not regular clippers, that wire is made of steel) to the specific length. Glue wire to bases or models or whatever you wish.

Many imperial kits have ones on the sprue with the cables and electronics already there. Ebay bits sellers will have them, search for servo skulls.

If you're really eager to make your own, guitar wire, plastic skulls and cut up tech bits to glue to the side.