You can make your own exhaust, but its gonna be a pain. To do it properly you need to have a welder, at least MIG if you're gonna do an aluminized exhaust. I think someone mentioned TIG if you do stainless - I'm not sure you need tig for stainless though :dunno:
Either way, you're going to be doing a *lot* of trial and error to make it fit right. Then all those welds are prone to rust.
Unless you're real handy with a welder, have a nice chopsaw and a decent place to work (ie. a lift) and are very mechanically inclined, I'd say buy a mandrel bent cat back system, bolt it up and you are done.
If you're set on doing it yourself, I know JCWhitney sells regular and stainless tubing, as well as mandrel bent pieces.