If you want to 3D print a lens you'll need a nice printer. Most resin and stereolithography-based printers will have the resolution necessary. If you want to try with a filament(Makerbot style) printer, you are going to have to cast transparent resin, which is totally doable.
While there are many ways to make a custom lens, 3D printing is perhaps the coolest. You can export a 3D model of a lens and watch it print without too much planning or physical labor. Additionally, additive manufacturing allows for more complicated lens designs with undercuts and double-sided geometry.
However, this flexibility comes at the cost of expensive material and lower optical clarity.
Here at Autodesk's Pier 9 Workshop, we're lucky to have access to an Objet Connex 500 3D printer. I used this photosensitive resin printer along with VeroClear transparent material to create many of the lenses for Smaller and Upside Down.
Printing was simple. I just pressed print and let the lens accumulate overnight.
Even on our fancy printer, however, the lenses ended up dull and striated with artifacts from the layer-based printing process. 5 hours of sanding and polishing (covered in step four) was required to make the lenses transparent. Even then, the printed lenses don't match the optical clarity of milled ones.
Other people have been 3D printing optics too. A few months after I started printing lenses on our Objet, the team at Formlabs made an excellent step by step guide for 3D printing a monocle. A cool startup called Luxexcel prints lenses professionally using specialized machines.