onoahimahi wrote:

I'd like to try making a small compass rose out of different color
veneers similar (but simpler) to the one shown he

There are two techniques - knife and router. Router would be hard for
this as it's not possible to do a sharp internal corner with it. As
that's the hardest part of the knife technique, then use the knife from
the start -- it's all straight line work anyway.

You'll find a first compass rose easier if you don't try to inset the
star into a solid piece of veneer, but instead cut the outer part into
segments as well. This avoids those awkward interior corners. Apart
from that, it's an easy piece to do and a good starting point - easier
than shells!.

When you come to inlay the finished oval into a piece of furniture,
then that's a good time to use the router. A Dremel or clone with the
Dremel tile cutting base makes a good (and cheap) starting point, or
you can buy a real router base for it with better adjustments. Don't
try to use a real router, they're much too big and heavy to control.

Does anyone know of a good reference for doing this?

Zachary Taylors' Inlaying book is my favourite for this, but there are
_many_ others.

Do I use an exacto knive?

No, they're expensive and not very good. Use a surgeon's scalpel
instead - cheap at any arts shop. Get a couple of different shapes and
a couple of the real metal handles in the large standard length size.