Building wheels is easy, building them well is not. Also, what you pay for the parts individually with shipping, having to buy more spokes than you need, etc... often runs you more than the build fee at the shop. Not saying don't try, but doing it to save money is a sucker bet.
Also, if you do a crappy job and have them true it, they're not going to retension everything and make it perfect, that's actually almost harder than building from scratch. They're just going to make it not wobble and send you on your way.