As with many aspects of rocket building, there are many ways to do things. This is how I make my fin fillets and can be used on both methods of fin attachment, direct body and through the tube attachment.
I use balsa wood for the fillet material in the profile shape of a triangle. Square material could be used, but it would require more sanding. I cut the balsa a little longer than the fin root chord length and sand the sides to make it fit. The balsa is cut at 90 degrees and the area for the fillets is more than that, so some sanding is needed.
I disregard the fact that the fin is flat and the tube is rounded at the glue joint area. This small difference is filled in with the adhesive and is less noticeable with the larger rockets. I use slow cure epoxy for the adhesive. I have tried to use wood glue to save money, but when it dries it shrinks and makes huge gaps in the fillets when even using pins to hold the balsa in place.
I force epoxy in the fin/tube joint for through the tube attachments, apply epoxy to the balsa and attach the fillets. Be careful not to get epoxy on the fin or the tube outside the bond area. While curing, examine the fillets to make sure they are staying in place. Pressing on the fillets during curing a few times makes the fit better.
After cure, sand the fillets using a sanding drum tube held between the fingers. I use a 1/2" X 2" drum on the smaller rockets less than 2", and 1" X 2" on the larger rockets. While sanding, and as the flat side is becoming concave, be careful not to cut into the fin or the tube. It will make a groove that will have to be filled later. Stop sanding just as the edges of the balsa meet the tube or fin. While sanding, compare all fillets to make sure they are coming out even in shape.
The forward part of the fin/tube attachment is the hardest to shape. I use a pencil wrapped with sand paper to make this transition smooth, again making sure that all joints are identical. If the tube extends aft past the fins this procedure must be used again. If the fins end with the tube, sand this area flat and fill any voids with filler. I always glass the fins and tube for strength.