Every city has a handful of reputable wheel builders that can do this for you. While I think wheel building is straightforward, considering the loads that you'll be putting on the bike, I'd have a set professionally done.

Mind you, if you got a bike with 20" wheels, the wheels would be much stronger; although given the design of most folding bikes, you'd put more stress on the frame. It might be cheaper to get a Bike Friday which will come with hand-built wheels.