The saddle is the little piece the strings bear on back at the bridge end. I'm also making these out of plastic bar stock; anything from very hard wood to bone will work fine.
First, clean up the groove in the bridge with a bit of sand paper on a straightedge...
... and sand your material down so that it is a snug fit in the groove.
Then, again with a thread from the peg head, mark the height of the saddle - you're now after about 3/16" between the thread and the top of the last fret.
Sand the piece to width, with a nice smooth and even top. Check with the thread in all the nut slots, just to make sure you've got it even.
Now, the top edge of the saddle needs to be slanted slightly so that the strings are hitting right where we want them to (rather than just "wherever" on the edge). The bridge has been set so that it slants back towards the 4th string side slightly. That's because the fatter strings need to be a bit longer for the best intonation. But with the "re-entrant" stringed ukulele, the 4th string is thinner than the 3rd, so we need to shift the top edge of the saddle forward at the 4th string only. So, put the saddle in the vice and file it so the top edge is towards the rear for strings 1, 2, and 3, but towards the front for string 4. This takes the length of string 4 back down to about the length of string 1, which is about the same gauge. Get it?
When finished, the saddle is simply pressed into the bridge under light finger pressure (no glue).
Next: Install the tuners & string it up
If you find any of this helpful I'd certainly appreciate a "tip" :-)