What kind of yeast did you use? And did it come in the mail, or did you pick it up at a LHBS? Just wondering if the yeast could have been slightly stressed. Like the other posters said, though- it's probably okay and may just take a while to get going. No bubbles doesn't necessarily mean no fermentation. Like Zuljin said, wait a few days and take another hydrometer reading. In the meantime, RDWHAHB.
As far as making a wort chiller, it is a very wise thing to do. You'll be surprised at how quickly you can cool your wort with an immersion chiller, and your beer will benefit. And making your own is definitely the way to go- it'll cost half as much as buying one. There are pretty good instructions here:
http://www.notsoprofessionalbeer.com/2010/11/make-your-own-wort-chiller.html
The biggest piece of advice I can give you on the wort chiller build is to use a tubing bender- if you don't already have one, it's well worth the cost of buying one to make sure you don't crimp your copper into uselessness. You probably don't need to use the bender for the coil itself- just wrapping it around your cylindrical form should be fine- but you'll want to use the tool for anything approaching a 90-degree bend.
