The book "So you want to build a Live Steam Locomotive" by Joseph Nelson has a chapter on whistles and the different tube lengths for notes and such. I built one at work using his design and had everyone looking when I gave it the first toot on shop air.
I was bored this morning, so I thought maybe I would have a go at building a steam whistle. I had a look at the Toby link posted by RollaJohn, and since I had a peice of 1" dia brass tubing, I made one. My dimensions vaguely follow the ones in the link, but only vaguely. I didn't really think it was going to work, but it does. Don't sound much like a train, but then again I didn't really expect it to. Damn, its true!!! Idle hands are the Devils workshop----just lke grandma used to say. Now I've got a whistle wih no use for it. Oh well, it kept me occupied for a morning.----Brian
The single note whistles don't have the sound of the three, four, or the more common five note train chime whistles. Also the size makes a big difference in the quality of the tone. And of course the use of steam instead of air also adds its character to the sound.
John Nelson's book mentioned above is a good start for information on building a chime whistle.