The problem with building up a new bike from scratch is that you'll spend way more than if you bought a complete bike with comparable components. Especially if you go piece by piece. The only real advantage of a custom build is the ability to get exactly what you want. If you don't know exactly what you want, it might not be worthwhile.

Better, in my humble opinion, to buy a used bike that needs elbow grease and give it a complete rebuild. You'll still get all the satisfaction of working on the bike, the learning, without spending as much. Honestly, if you want a nice new bike you're much better off financially getting a complete one.