Do you mean a thestral? It's a magical creature invented by J.K. Rowling and described in the Harry Potter books. You'll find more information at the link below.
I assume you mean in the films. In which case, they use special effects to create the thestrals.
The elder wand is a 15 inch wand crafted by Death himself. It is made of Elder and has Thestral hairs as it's core which is a tricky substance but as Thestrals can only be seen by those who have seen someone die it seems apropriate after all death made it. It is said that it is fashioned by Death in the tale, but it is pointed out that this is probably not true and that it was just fashioned by the eldest of the three brothers.