Buying a zafu of my own didn't seem like a reasonable option since even the cheap ones start around $30 a piece, and I need to use two. The two zafus I made ended up costing me less than $20 each, but it may cost more if you need to purchase fabric.
The following is based on directions I found online to make your own zafu. That link is only one of many sites with the same guide.
Step 1: Getting the Parts
Typical stuffings for zafus are buckwheat hulls and kapok fiber. I opted for buckwheat hulls, which I purchased from BuckWheatHull.com, because they were cheaper and seemed less likely to make a huge mess. 10lbs of buckwheat hulls cost me $35.05 with shipping.
I was going to stop by a local fabric store to find something to use but before I made it to the store my SO picked up a giant piece of fabric that was on the "free rack" in our university's theatre.
You will also need a sewing machine and the ability to hand stitch.
Step 2: Prepare the Sides of Your Zafu
Pick a short edge, measure 6.5" from that edge and mark the fabric. Then mark 3/4" and 1.5" from that line/mark. These marks are going to be guides for pleating.
From the third mark, measure 3" and mark. Then mark 3/4" and 1.5" from that line/mark. Repeat this until you reach the end of the fabric.
The guide I found (which I linked to above) said that you would end up with 14 pleats, but I only had 12.
Now we create the pleats. For each pleat there will be three marks; fold at the second mark so that the third rests on top of the first and pin it in place. If this doesn't make sense, check my photos and read the linked guide.
After pinning the pleats in place, they were ironed flat and sewn down.
Step 3: Prepare the Top/bottom of Your Zafu
Step 4: Assemble and Fill Your Zafu
When pinning this all together, I arranged the ends so that the 6.5" of the side, before the pleats, overlapped the pleat trailing end so that the pleat-less end would end up on the outside once the cushion was inverted.
Once you've sewn the pillow together (don't forget to leave the overlapping ends open), flip it inside-out through the opening. Then carefully fill the pillow with your stuffing of choice and hand-stitch the opening shut.
I ended up using 5lbs of buckwheat hulls per zafu, so my 10lb order was the perfect amount. If you want to make a zafu and a zabuton, I'd recommend either purchasing more than 10lbs, or getting another stuffing for the zabuton.