I've built 3 pairs. It is much easier than I thought it would be.
Get one of these: http://www.amazon.com/Park-Tool-TM-1.../dp/B000OZDIGY
Here is a step by step guide written by me:
1. Buy parts and use a spoke length calculator to find spoke length.
2. Wait for parts to come in mail (hardest part of wheelbuilding).
3. Lace em up. (Use an existing wheel as guide - make sure valve hole is between parallel spokes)
4. Hand tighten them.
5. Put your bike on kitchen table upside down and use dropouts with a ruler attached with a rubber band to check vertical trueness. Add a paperclip on the ruler to check lateral trueness. Flip the wheel around back and forth periodically to make sure you didn't accidentally dish the wheel.
6. Be patient and get that **** true. This is very fun, especially if you like doing stuff.
7. Check with tensiometer frequently. 100 - 120 kg. Some will be less, some will be more - you want an average.
8. Re-tension them after a couple hundred miles.
I've never used grease because I didn't want them to loosen up. Don't think they twisted up at all.
I just re-tensioned my Kinlin xr-200 wheels with sapim laser and took them up to avg. 120 kg, they had dropped to around 90-100 kg after a few hundred miles. Totally made them stiffer. I read on some forums that someone did a test and took that rim up to 300 kg without it breaking, so I felt comfortable having some of the spokes over 120 kg. Witness the stiffness.
Anyway. It is very easy and fun. Definitely do it.
PS Cheapest Sapim laser spokes and Kinlin rims I found were from bikehubstore.com.