Well, lets see. You'll need a cylindrical piece of metal, some wire a small glass lens, a superconductor and a focusing crystal. You use the force and a small oven of some kind and poof....there you go.
Seriously, though, why bother with making one? You can get the replicas at Best Buy and GameStop for under $100. Or you could just look at the website direct:
http://masterreplicas.com/customer/starwars/starwars_product_list.php?cid=9
Last months PC Gamer also had a deal for 25% of one of their lightsabers....
I do remember seeing a website some two or three years ago about a guy who was building them for resale. He was using a lathe to turn the metal down (maybe a CNC machine). They game with some kind of detachable blade. I don't remember too much more about his site.
The bottom line is that you would likely have to spend far more time, money and energy to build one instead of buying one. Some of the equipment is really pricy so unless you have direct access to a machine shop where you could do the work without having to pay, it would really not be worth the time and cost.
Just my take.
TBW
Update: Or you could just look at the site mentioned buy the CAGer above.... I just got distracted by how you would do it with a full machine shop and not considering that this is CAG.