Depends.

If you can find a serviceable, decent road bike that will only need a new rear wheel to become a fixed gear for less than $100-$150 then it's cheaper to convert than buy. My roomate recently picked up an 80s Nishiki road bike for $30, added a new wheelset for $130 dollars and has a pretty nice fixed gear for $160. This is rare and you need to be very knowledgeable of the secondary bike market to find a good bike.

If not, it's cheaper to buy something from bikesdirect.

It's always more expensive to build. You will also get crappier parts for more money when building since you do not have access to the bulk discount dealer/manufacturers have.

In most cases: Buy>Convert>Build

Example given: If I was in the market to convert, I'd buy this bike, add a new rear 27" wheel for @$100 cog and lockring for $30 and have a pretty ****** fixed gear for @$200-$225.

For the same price I could get one of these; probably a little less quality but the advantage of having a new bike, getting your size easily, and having new parts is definitely something to consider.
http://www.bikesdirect.com/products/...cane/track.htm
http://www.bikesdirect.com/products/windsor/thehour.htm