I think building your own is absolutely a good idea - but do your research first. I've built up several bikes over the years with variable degrees of success, but if the result is not to my liking I just sell the bike and move on. In most cases I break even and I don't consider my time to be a waste because I always learn something.
But research is important. The mechanics forum here is a good resource, but also check out the technical docs available from Shimano and other manufacturers. As mentioned before, when you are buying parts there are some very specific compatibility issues. I still have a brand new 1 1/8" threaded headset that I bought on clearance that I will probably never use.
The other piece of advice I can give: don't buy cheap tools.