transformers
the first thing you'll need is some good cores. I wouldn't recommend making them on your own,because their is just too much precision work involved.
I would suggest purchasing the cores (usually come in two pieces - one slightly smaller than the other to provide air gap for flux current regulation). Once you have that you should use solid magnetic wire with insulation to produce required number of windings around the core. Different gagues make a difference, so pay attention to that. once you have all the windings in place use some sort of glue to hold all of them together (I forgot what the name of the stuff was, but pretty much anything will do), and wrap them around with electrical tape. You then use the clips that come with the cores to hold everything together.