Appropriate control interventions are necessary to show the treatment effect of dry needling. Different control procedures, such as dry needling of the contralateral side, and sham treatments, such as random and superficial needle insertion, have been utilized in trials. However, those methods might elicit a physiological response and are subsequently not ideal for use as a control. This descriptive study illustrates the construction of low-cost sham dry needles and evaluates their validity. Forty-two healthy asymptomatic subjects received either sham or real dry needling intervention to their right gluteal muscles and reported if they felt that the needle pierced the skin. They also graded the severity and qualified (sharp or dull) the pain associated with the intervention. The results showed that most of the subjects in both groups believed the needle penetrated the skin. The quantity of pain associated with the treatment was similar in both groups, but the quality assigned was different. The authors conclude that sham dry needling can be accomplished and used as a valid control treatment in dry needling research using these low-cost sham needles.