If you're happy with the sound you'd get from a radio shack wireless, then you probably had one crappy cable before...
Seriously, yes these things are expensive, but the only economy you can make with a wireless is not buy one at all. Cause a cheap one will screw up your tone, add nasty distortion (peak easily), compress in a cheezy way (they use compression to limit the dynamic range, but a cheap one will sound like you're going through an old DOD compressor pedal, actually worse than that), have a short range (drop outs are uncool), get interferences (did you see the Spinal Tap movie?), and so on... Seriously, you'll end up using your cable instead.
As for making one, that's like asking "Can I build a computer from scratch?". Yes you could, but it would cost you a fortune and would perform like one that was build 30 years ago, because this is one of those things that HAVE to be produced in large number to be viable.
Now, if you do really want a wireless (I for one, couldn't live without it), do yourself a favor and save 400-500$ and get on the Shure The Guitarist UHF systems (the UHF part is important), you'll be glad you did. They're really good for the price. And stay away from the low-end Audio-Technica models.