In theory, you could wind one yourself, but you have to be careful. If you want a small size it will involve using a small core. This means possibly having windings in very close proximity, with an insulation failure resulting in a direct short across the mains. This is why many common mode filter coils are wound on separate bobbins, on the same core. You can find lots of coil winding information on the internet, but the effort and cost of getting the parts may not be worth it.
Many companies make what you need. One of the bigger firms is Corcom.
Their products include all the other filter parts, including the capacitors, MOV's, shielding, safety ratings, etc. They sell through most of the electronic parts distributers.