I get my components from shoff tackle, an online store (shofftackle.com). They have pretty good stuff. You can either get full kits or buy individual components. I've built three rods with components from their shop.
For wrapping, I built a rod wrapper out of wood and some minor components that looks just like the Flex Coat Hand Rod Wrapper (look at one on Cabelas website for an idea). My components cost about $20 and building it was easy. Basic shop skills and a few tools the pretty much anyone would have on their workbench and you can build one in few hours.
For the finishing step though, I spent about $70 on a motorized rod turner. It works great and is well worth the money. Some rod turners are several hundred bucks.
Like was said by others earlier in this thread, don't hesitate to strip and re-wrap your threads if you don't like them before you put the finish on them. Also, I go to the Sage website and get their guide spacing chart for the rod size I'm working on to make sure I have them spaced correctly.
The hardest part of the project (for me, at least) is getting the guides all aligned perfectly pre-finishing. You don't want to assemble your rod when you're done and see your guides not in a nice straight line.
It's pretty dang fun, though. I look at mine closely and notice imperfections but I think it gives them character. Not to mention, I can build a $700 rod for about $380 depending on component choices.