Step 1: Tools and Materials
-A helping hands
-Balanced armature drivers (Knowles Acoustic: (2) CI-22955-000, (2) DTEC-30008-000, (2) WBFK-30019-000)
-(2) 1 uF capacitors (Mouser part#: 581-SA305E105MAR)
-(2) 7.32 ohm resistors (Mouser part#: 270-7.32-RC)
-AMP female connectors (Mouse part#: 571-665059)
-AMP male connectors (Mouse part#: 571-665079)
-Earmold impression kit
-Acoustic dampers (green ones and yellow ones; also available at Mouser)
From a quality art store:
-A mold making material (for making molds of the impressions; I used SmoothOn Reoflex)
-A body making material (for making the body of the IEM; I used SmoothOn Crtystal Clear; please see my safety comments regarding this product on page 4)
-Some copper stranded wire, whatever you have laying around
-And you'll have to either make a connecting wire, cannibalize one from some other headphones, or buy one like this. I originally made my own, but I couldn't find the same kind of small gauge, soft-jacketed wire, so I eventually broke down and bought a Westone cable that I ended up modifying. If you have a lead on the kind of wire use in headphones, but all means share it. If you use a wire that's too stiff, in addition to it being awkward you'll also get unpleasant microphonics.
A note on impressions: Please read this before attempting to make your own impressions. There is a potential risk of serious injury, including permanent deafness. If you're unwilling to take this risk you have the option of having impressions professionally made by an audiologist. Also, while Earplug Superstore sells a kit, complete with the impression material, syringe, bite block, and ear dams, it is also possible to by these materials from Microsonic (since you'll need to buy some supplies from them anyway). The syringe isn't necessary, though it is helpful. Biteblock isn't necessary, and alternatives could be used. You must use an ear dam, though you could easily make them yourself using some foam and string. Don't try to make impressions with anything other than materials specifically made for doing so.
A note on crossovers: If you'd like to read more about high-, low-, and band-pass filters, this is a pretty good introduction. I've also found a handy RC crossover calculator. The resistor and capacitor values you choose will depend of the impedance of your drivers and your desired roll off. For more complicated circuits, including how to (properly) wire a 3 way crossover (unlike what I did), check out this. But note that you cannot use inductors with balanced armature drivers (BA drivers have inductive coils in them, if you use inductive crossovers you'll get inductive coupling).
UPDATE - took me a while to find them, but the IEM connectors are called TF10. A quick search will yield lots of results.