The quick answer would be that if you have all the tools required it's cheaper to build from components. You can do it with just a few basic tools and suppies, but there would still be some cost involved. If you have to buy the tools, supplies and jigs you'll need, it's probably cheaper to buy new clubs already assembled.
The advantage of building from components is that you'll have a cutom setr tailored to you and the pride of having built them yourself.
"Did you see where that went...nevermind, I'm gonna hit another one."