Not a terrible idea at all and yes, if not done correctly you can indeed hurt yourself. Having said that, if you're mechanically inclined and patient go ahead and give it a try. Assuming you can follow instructions the individual steps are simple to the point of tedium, it's all about being careful and taking it slow.

Also, I'd advise that assuming you do get one built that you take it to an experienced builder and have them check your work. It might cost you a few bucks but will give you some assurance that the wheel is safe.

Assuming you've got the hubs and they're serviceable you can save a few bucks by building your own since all you need are rims and spokes.