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.