Not to take away from Biermuncher's work, but here's another guide that's available, and it's a video.
[ame=http://uk.youtube.com/watch?v=cAZdYuZWmpg]YouTube - How to make a Mash Tun Part 1 of 2[/ame]
I'm in the middle of completing it now. If you're like me and have absolutely no background in soldering or anything like what's involved in making a copper manifold, it can seem a tad daunting. And truthfully, I ran into a slight snag and have yet to complete mine...
But I have successfully made the cooler water-tight with an installed ball valve, and the copper manifold section is looking pretty good. I just need to connect the two...
As far as expenses? If you don't have any of the tools required, it can cost you a bit. But for me, it wasn't about saving money. I wanted the do-it-yourself experience. I think that's something most homebrewers can appreciate.