This article is from the Golf FAQ, by marcelo@nntpserver.Princeton.EDU (Marcelo A. Gallardo) with numerous contributions by others.
Start off by ordering some catalogs from some of the component vendors
(an annotated list is available in the Component Suppliers List). While
you are waiting for the catalogs to arrive, get some of the articles
regarding club design and assembly ( Club Design Articles, Look-a-like
List, Clone FAQ) which are available in the archives as well.
You'll probably want to start off slowly. Start by building yourself a
putter. This will give you a chance to build a club, without having to
have too much concern regarding shaft length and flex.
If you're happy with you putter, move on to an iron. This will give you
a chance to try different shaft lengths and flexes to see which suits
Once you feel comfortable, you may want to try your hand at an entire
set of irons, or possibly a wood.
Don't forget to let us know how your clubs turn out!