Prepare the Wood Blanks
Cut pieces of wood to the size that you want for your balusters. The length of the wood needs to be the distance between your upper and lower rails plus the length of the tenons that will hold the baluster at the top and the bottom. The width of the square wood blanks needs to be the same as the widest part of your turned baluster.
Make two marks diagonally on the ends of the wood blank, forming an X that marks the center.
Cut along these lines on one end of the wood blank using a hand saw or a band saw, creating a cut X about 1/4 inch deep.
Make a pencil mark on the baluster at the point between the square top and bottom of the baluster and the part that you will be turning round. Extend this pencil mark around all four sides so it will be visible while the piece of wood is spinning on the lathe.
Mount the Blank on the Lathe
Move the tailstock of the lathe far enough down the base to accommodate the piece of wood that you are putting in. The tailstock is the assembly that slides up and down the base of the lathe, and has a sharp point on it that will stick into one end of the baluster.
Place the end of the baluster with the cut X on it against the headstock of the lathe. The headstock is the end that is powered by the motor, and has a metal X on it that will fit into the X that you cut into the end of the blank.
Hold the blank with the X of the headstock pressed into the cut X of the blank, and slide the tailstock in so that its point presses into the center of the X on the other end of the blank. Turn the lever on the tailstock to secure it in place. Your blank should now be securely suspended between the two points.
Position the tool rest so that it is as close to the blank as possible without hitting it. Turn the blank by hand before turning on the lathe to be sure none of the corners hit the tool rest while the blank is turning.
Turn the Baluster
Turn on the lathe. Rest a 3/4 inch gouge on the tool rest and very slowly bring it into contact with the wood. Move the gouge up and down the surface of the wood in order to remove the corners and make the surface round. Be careful to leave the top and bottom parts of the baluster that will remain square.
Turn the profile of the baluster using smaller gouges and cutters as appropriate. Use calipers at relevant points along the profile of the baluster to maintain the same dimensions for all balusters.
Clean up the surface of the baluster with 100 grit sandpaper. Move the tool rest out of the way and hold the sandpaper against the spinning surface of the baluster with your hand.
Turn off the lathe and check the surface of the baluster for chatter marks, chips, and scratches. When you are satisfied with it, remove the baluster from the lathe and start on the next one.