I used to build my own pedals, but it seems most of my bookmarks for schematics are out of date now..
Personally I'd just buy them. Trust me, you'll save very little money in the end, and the quality just won't be the same. If you're dead set on building your own, though, AMZ is a good source for schematics:
http://www.muzique.com/schem/index.html
It's a LOT smaller than it used to be, though, it seems it's gone "semi-commercial." Check google.com and search for guitar effects schematics, there are lots of resources out there.