Before buying the Versa Cube from CattWalk, I made a tube bead and built up the side pieces by adding on lots of dots and then shaping them with tweezers. You'll need lots of heat control on the top and bottom while making the side pieces.
See Catt's versa cube tutorial here:
http://www.cattwalk.com/tutorials/cross1.htm
The Bavarian Bead cross press should be really similar, but I guess I should go look first. Too late, though, already posted once.
Ok, the process for their press would be about the same as Catt's version.