It way cheaper to buy one if you plan on using quality parts, but if you build your own, you get to pick the quality and type of wood, fret size, type of finish, neck profile, radius, feel, yada yada yada... I would recommend a book called "Make Your Own Electric Guitar" by Melvyn Hiscock. He takes you through building 2 guitars and a bass, in bolt on, glue in, and neck thru configurations. Bear in mind though, it takes a lot of specialized equipment, such as bandsaws, routers, sanders, etc. not to mention fret files, fret hammers, router templates for different things, specialized router bits to rout things like truss rods, cavities, etc. and all this costs a lot of money. You can pick up most of the specialized stuff you need here including the book.
Also don't forget you need some kind of degree of skill in woodworking to tackle this kind of task. I wouldn't even think about wasting that kind of effort and time and money on this venture if you have never done anything in the woodworking field. You have to be deftly proficient in using a router safely, as some of these cavities you have to rout are quite deep and can break a bit easily. Make sure you use a 1/2 inch cutter.