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I have done both for all the size rivits that I have used. For easy to get at ones you can hold one commercial snap upright in a vice to take the factory head and then use a second to form the head from above.
The problem comes (quite often on a TE) when you can't get a stock rivit snap in where you need it such as when doing the rear spokes or inside the tender. In these cases I have made short snaps from silver steel that have a small spigot behind the head that can be placed in holes drilled into various bits of metal to support them. The recess can either be made with a suitable size ball ended milling cutter, home made "d" bit or heat the rough shaped part sand stand a ball bearing in the recess and give it a whack with a big hammer this last one did not work for me.
You may also find that even with shop bought ones that they are a bit bulky and may need the end turning down, they are hardened but I have done it with Carbide tooling. even then when working close to the fillets around the tee rings you may have to grind a little extra away.
Rivit sets can be made as they are just a hollow punch drilled to fit over the rivit shank, don't really need to be hardened.
Photobucket is a bit slow at the moment will post photos later