Dagger are made with 1 - 5 coins, depending on the number of minions in your tribe. You need to select dagger from improvement icons first. After that, to give one to your minions, select it on the left, and then click any available minion to make them a rogue. Dagger is a melee tool, so it can be paired with shields.
Rogues have very different mechanics from other melee tools and weapons. When your tribe engages an enemy tribe, rogues will prioritize minions that are on 1 HP. The rogues will dash in and one-shot these minions. When a minion is "stabbed" like this, they will drop one gold immediately upon death. Your minion can then loot their corpse for more resources.
Rogues then go after hunters and other rogues. This combat is much like combat with a normal melee weapon, except the animation is more of a stab than a spin-attack.
When fighting minions that aren't hunters or other rogues, rogues will still attack, but no damage is done to the enemy.
Tips and Tricks Edit
Using rogue is tricky. Consider to build only one to compliment your knight. Since rogues only attack hunters and other rogues, they aren't very useful in combat.
If you're low on gold or are having a hard time getting exp points, having rogues in your group can help with both of these. If you see an enemy tribe with 1 or more minions that are on 1 HP, attack them. Your rogues will immediately kill the minions with 1 health and steal gold, getting you both exp and gold with little cost. If your tribe won't win the fight, run away when your rogues are done.