Choose four straight pieces of hardwood lumber long enough to cover the length of the proposed column. Measure and cut them to precise length with a miter saw.
Spread glue along one long edge of one piece. Position it aligned to a second piece with the ends of both pieces flush against each other. Position the second piece perpendicular to the first to form a long "L." Nail through the face of the second piece into the glued edge of the first. Repeat with the remaining two pieces. Use a pin nail gun with 1 1/2-inch nails, every four to six inches.
Position the two column halves around the pier, if building a column wrap, or fit them together to form a square tube to build a self-standing column. Glue and nail the remaining two edges. Use one nail every four to six inches.
Cut eight pieces of 3/4-inch thick baseboard molding, 1 1/2-inches longer than the width of the column. Cut 45-degree miters at the end of each piece with the mitered edge cut away from the profile face to form a trapezoid. Glue and nail these pieces, four at each end of the column wrapping around it to form a base and capital for the column.
Fill the nail holes and seams in the completed column with wood filler. Allow the filler to harden and sand the entire column with 150 grit sandpaper.
Apply two coats of stain and finish all-in-one or semigloss latex paint with a soft bristle brush. Apply the paint in the direction of the grain in long straight strokes, working to spread the finish as evenly as possible to avoid runs and drips on the surface. Allow the drying time recommended by the stain or paint manufacturer between coats for best results.