You appear to be confused about terminology. "Wheels" refers to the complete things you ride on, maybe minus tyres, tubes, cassette and brake rotors where applicable. "Rims" refers to the hoop-shaped things that run around the outside of the wheel. Spokes are the tensioned wires that make up most of the wheel, and hubs are the bits in the middle with the wheel bearings and whatever.

Building wheels is not particularly difficult, although it does require a few special tools. You obviously need hubs as well, and the correct-length spokes. I laced my first wheel for the same reason you did - it was cool to be able to say I was riding a wheel I'd built myself. I used the Sheldon Brown article on wheelbuilding, and I was 15 at the time, so I reckon any idiot can build wheels with that article. If you have more money than I did, you can get a copy of the book he references in the article, The Bicycle Wheel, by Jobst Brandt, which I suspect would be even more useful.