go for it. Its a great feeling to build a set of wheels. There's always going to be a first time. If you have the time, money, and resources (there's plenty of this all over the web) and you enjoy putting things together on your own, theres no reason not to. Be creative with the tools if you can't afford them. Your LBS mechanics will have recommendations on rims/hubs/tires.

I built my first wheel not too long ago. It came out great, and I feel proud riding it.