There were plenty of small abandoned villages and holdfasts in the wolfswood, and some of them had a small smithy. Plenty of bronze could still be found in various tools and appliances, so he had materials and tools to experiment with. While he knew the method of making Valyrian steel, and now both his magical flame and Winter's Dragonfire were strong and hot enough to make it, he wanted to make something unique, something better. And if he did fail, he could always make Valyrian steel itself, but it wouldn't turn out very well, considering he was still shit at hammering a weapon into a proper shape. Since he had plenty of material at hand, Jon took his sweet time experimenting.