I use either teflon or Delrin, Teflon is easier because I can drill an undersized hole and then it is tight on the axle. With Delirn I drill an oversized hole and glue them onto the body. Delrin is stronger stuff and you really can't drill and undersized hole and slide it onto an axle easily. It takes too much effort and I usually end up screwing something up.
Back a couple years ago we used to build up a little mountian of wood putty around the rear axle holes and sand it down to get the right shape.... OMG was that horrible.