I'm not building an SMU, but a PSU with some sinking capability and multiple (dual) current range and small output capacitance.
I'd say the first step to build an SMU is to define desired specs (voltage/current ranges, set/readback resolution and accuracy, bandwidth, protection, etc). As I see it, you just take a "regular" power supply and "upgrade" it until it meets your specs.
I wouldn't go down to microvolts and nanoamps for the first build. Also don't expect it have 5+digit accuracy. Reading voltnuts' articles helps a lot in understanding challenges.