It is possible to build all of this yourself. Biggest problem is cost vs materials vs labor.
Do you have any CAD experience? if not, there are free programs online, and plenty of tutorials on sites like youtube. If you draw the frames up yourself, you can have them waterjet cut from brass (best material for a frame), or other materials could be laser cut. We cut all our frames for 4 engines from 1/8" brass sheet, and the cost was the material plus $100 for machine time. Some simple square tube and bar stock for frame spacers, and a built up cylinder saddle hold it all together. As for wheels, either find some from another loco that will work, or make your own. We cast ours from a low melt metal, but I wouldn't recommend as they are too soft. Drivers and Side rods are the more expensive of the parts to have made by someone else. Shapeways wants $150 per wheel to 3d print them from brass. Precision Scale Co has some 1/2" and F gauge parts that would be worth looking through, including brass drivers. Our side rods are brass and the main rod is stainless steel, all printed from shapeways for about $150 +/-. It would be possible to build your own frame for a few hundred to maybe five hundred dollars. The more you can do yourself, the less the cost. If, for example, you had access to a mill and the know how to use it; you could make your own frames for the cost of materials and your time. Fairly cheap!
It is a lot of work, and to scratch build an engine, I would say a lathe and a mill are a must. But it is very rewarding, and you can learn a lot from the experience...
Casey Akin
PS tell Barry hello next time you talk to him!