Building a wheel is fun but quite intense. You might not necessarily save a whole lot of money if you build one yourself, but YMMV. I've had three wheels, two of which I made myself, and am working on a fourth wheel right now. I'm still learning plenty.
The first one I built was steel, 48" around with a 12" wide track and used the swivel part of a caster to turn. I learned from that one that bending steel is not fun, and welding together a cat wheel is not either. That one broke, leaked grease all over my carpet, and was left by a dumpster. I did like it because my Bengals would run side by side on it.
The second was a 42", plastic one (the one from Cat Wheel Company...which are supposedly coming out with a new wheel sometime next month). The usable track size is only 9", which is only enough for a single cat to run on it, and 42" is definitely too small for a Bengal to run on. I just recently sold it off, because only my female Bengal would use it..
The third and fourth ones I built/am building (look for some photos I posted in December) are an engineering feat. They're 53" inner diameter and have a 16" wide running surface - plenty large enough for two cats to run on side by side. It's stayed at my parent's place since December, but I've been back at their place for about two weeks, and both of my Bengals love it. Nitro is also slowly getting accustomed to it as well.
These last two have a hubless design, and required so many careful steps that it's amazing it works at all. I don't feel like going through all of the details, but I had to use three sheets of 1/8" baltic birch, a good half gallon of Titebond III, rollerblade wheels, and a form as big as the wheel itself to be able to put it all together.
Actually, that reminds me that I need to sell wheel #3 sometime soon. I'm only making a 4th because I'm a perfectionist, but the 3rd is definitely quite usable...even if I don't remake the base (which will be done in the next few days). Today one of my Bengals hopped off of it while running on it at full speed, and I swear the thing did about five complete turns.