Here is my walkthrough for building cardboard columns. I have a smallish sized yard, and I wanted some smallish sized columns to go with my wire fence, and my solution was to use materials I either already had on hand or as cheap as possible.
Large cardboard boxes (sized according to how many/how big you choose to make them)
Glue (I used wood glue, but use whatever you have on hand that is strong and water proof)
Something to weight the columns down as they are drying
twine or string to hold the column together as it's drying
silicone caulk (I had white on-hand, color doesn't make any difference)
paint (had it on-hand)
Styrofoam (however thick you want - use what you have)
I made my columns 3 feet tall, 6 inches square. That worked with the scale of my yard/fence.
First step is to measure out and mark the four sides and the height on a piece of cardboard. I used a metal straight ruler to mark out all the sides, and then used an Xacto knife to cut out the column form (the solid red lines, and then cut through ONE layer of the cardboard on the corners (dotted lines).
Bend the cardboard along the edges that you cut through one layer of - first in the opposite direction from the cut to form a good fold, then back towards it. You want the cuts to form a 90 degree angle for each corner, but have the cut side on the inside of the form so the outside is unbroken (less to seal if it's on the inside).
Once you have your column squared off, you can use the glue along the edge and tie it off tight with the twine and then set heavy stuff on top of it so the entire edge is in contact with the glue surface.
Once it's dry, you should have something that looks like this:
Cardboard square column that is hollow at both ends. Use caulk to fill in if there are any big gaps.
Using styrofoam, measure off a square however large as will look good for the top. I used a cheap 1" styro from Michaels, and making them 8 inches square allowed me to get 2 tops from each sheet of foam (the sheet was about 18 x 20 inches for $5 each)
Using the glue, attach the foam to one of the ends. Use the flattest end, as the bottom of the column doesn't have to be flat. I set them upside down to dry. Once it is dry, use the caulk to seal all of the edges and smooth the transition.
Paint time - use whatever you have on hand, but do make sure it's latex or acrylic so it acts as a seal against weather. I did a base coat of medium gray with mortar mix mixed in for texture, applied with a brush. I let that dry and came back over the edges and such with black. Make sure to get all of the outside covered well with paint.
I chose to use pumpkins for the column finials. I found paper maché pumpkins at Michaels, but I was also considering skulls as well (which would definitely look pretty cool). I cut faces into the pumpkins, alternating happy/scary traditional faces.
Paint the finials to match the columns - the point is for them to blend into the column's construction and look like a cohesive piece. I also painted the insides of the pumpkins with red to enhance the glow of the flicker lights.
I still plan to get some heavy tinted cellophane/acrylic sheet to glue inside behind the face cutouts to hide/conceal the lights (allowing the light to shine through, but obscuring the interior of the pumpkins) but that's for today and I'll update when/if I get around to it.
I put these up by hammering in two picket stakes into the ground and snugging the column over them. Adjust the stakes to make sure you get a tight fit, and they stay put even with people touching them. The columns stand up to light weather conditions, but would need heavier paint (especially inside) if you have heavy rain/snow. If we get a downpour in my area, it's actually pretty simple to go pull them off the stakes and stick them in the garage until the weather improves.
I had most of these material on hand, having only to buy the pumpkins and the foam cappers. Total cost for me (even counting the on-hand materials) is under $5 per column.