I buy mine from Animal Plastics, but building one wouldn't be too complicated. The hardest part will be getting ahold of the PVC sheets.
I agree with skiploder that you might as well just buy one as the cost difference is minimal.
Here are what the cages I use look like:
And here is a thread that goes over them in detail: http://ball-pythons.net/forums/showt...With-Pictures!
Hope this helps.