I have. Easy enough to do with hand tools, but a lot of work. When I figure my time, it's less expensive to buy. The hardest part is finding boards with straight grain. I have a table saw so no problem cutting square stock and a V-groove into a block for hand planing. Some folks buy or build a dowling jig to take the square stock to round.
The spine and weight can vary widely, even from stock cut from the same board, so it's usually necessary to build a lot of shafts to get a few in the specific spine and or physical weight one is seeking. Another reason for buying where one can specify the spine and weight and get pretty much what you ask for.