Cut an arrow 5 inches long out of the cardboard.
Cut a cardboard circle a little larger than the circumference of the empty coffee can. Starting at the top center of the circle, use the pen to write North. Continue around the circle writing Northeast, East, Southeast, South, Southwest and Northwest in the appropriate places. Using the point of the scissors, poke a hole in the center of the cardboard large enough for the pencil to fit through. Push the pencil through the hole, eraser side first.
Stick some clay on to the pencil eraser. With the clay, affix the pencil to the inside bottom of the coffee can. Pour the sand or gravel into the can to hold the pencil steady.
Tape the arrow to the pen cap. Put the pen cap with the arrow over the unsharpened end of the pencil. Make sure the pen cap is level and moves freely.
Take the weather vane outside in an open area. Use a compass to find North. Make sure the North on the weather vane is pointing North. When the wind blows, you will see which direction it is blowing from.