CAUTION: This only pertains to the D.I.Y. FABRICATION of piercing impliments. For the correct usage/sterilization ect... There is a very well writen & comprehensive instructable by blasphemouskell.
Step 1: Material aquisition
I think that stretching a piercing, (especialy when it's in your holiest of holies) is the way to go. It is a whole lot easier to put a small hole and stretch it, rather than starting out with a large gauge. Less down time too ;)
So here's the important part. You may get lucky and find some retail hardware store, or arts n' crafts store, that will carry "rod stock". But I didn't find any. So what does one do when the cheesy, retail thugs fail you? You go to "Pro" retail thugs: Grainger! They have semi-retail stores all around the country. I say "semi-retail" because they really only like to sell to businesses or contractors. But it's easy enough to convince them that you are a small business owner or contractor. They also have a great website to look up item #'s. One last thing, if you live near one of their stores, they will ship anything you want from their catalouge to that store for you, free. This is nice because most branches don't stock "rod stock".