It works well, trust me. I made and sold many copper whistles in keys from C to G. You can deform the top end of the body by placing a metal dowel inside and pounding on it to expand it, then use a female-female copper joiner to create a tuning slide to join to the head. Helps to have a lathe, although copper doesn't turn as well as silver or brass. You'll need to decide whether you want to try making a flush fipple blade, or a flattened or rounded (Copeland style) depressed blade (which requires a mandrel press and a willingness to make your own dies). Don't bother with coating/painting it, it's going to get a patina no matter what and it will look very "old school". Get some 1/2" copper plumbing from your local hardware store and go for it. I used hardwood, Delrin and a very hard 3M modeling foam for fipples, all with reasonably good results. Feel free to PM me if you have questions, I don't have any secrets I hoarde.
Cheers,
David Parkhurst

I read with interest. I have also been really surprised how clear a note you get using copper.
I wanted to make a modular whistle that I could adjust/modify over time ... I just wanted a single whistle that I could modify at will to test fipple dynamics and hole configurations. I decided to use simple copper tube and did not regret it. It works well and has a really nice weight and clarity.
I finish with fine wire wool and clear car lacquer.