There are definitely some tricks to it. If you live in an area with a lot of bamboo, I would recommend making a "female" atlatl. Here is a pattern for one:
http://www.thudscave.com/npaa/designs/bamboo-d.htm These work very well with a little bit of experience. For the dart, I would make something like this:
http://sensiblesurvival.org/2012/04/13/make-a-river-cane-knife-and-spear/ The trick is, make sure you have the fat end in front and the skinny end in back. This shifts the weight forward, to alleviate some of the problem of not having a tip attached, as the weight for a tip is very helpful when it comes to atlatls.
If I were living in a wooded environment that was more hardwood-heavy, I'd go for a design like this:
http://www.primitiveways.com/atlatl_branch.html To that, I would take a sapling, and again, make sure it was heavy end in front. I'd carve myself a sharp tip or fire-harden it, and that would pretty much be that.
If you have some duct tape on you, then this is always an excellent option and solves a lot of range problems:
http://sensiblesurvival.blogspot.com/2011/12/fletching-arrow-with-duct-tape.html
And if you have access to glass bottles or appropriate rocks, you can do this:
http://cavemanchemistry.com/oldcave/projects/stone/bottle.html To get the bottle bottom off perfectly in a no-tools environment, I use this method:
http://www.youtube.com/watch?v=wmXkwyOrERM Generally, I can get the bottom to pop off with the first strike. It breaks pretty clean most of the time, only minor touch-up needed to get a perfect circle to start with, and not much overhanging pieces.
Generally speaking, on an average walk in the woods, I have access to the glass bottles but not the duct tape. On a camping trip, I always have duct tape, and can usually find old glass, or at least quartz rocks that I can get a sharp edge off of (not great for knapping, but it works). So, most of the time, a survival dart for me would involved knapped glass affixed to the shaft with duct tape, and duct tape fletching as well, which makes a big difference for very little effort.
I was inspired today to make some more darts, including one of the tip-less bamboo designs I was talking about. I figured I'd post pics here rather than derail the other thread further:
I also managed to make a simple dart with an obsidian point. (Excuse my lame flintknapping)