If I recall correctly, Hakko tips have an internal sleeve where the ceramic heater goes. What it is made from I do not know, but it needs to be there to prevent all the scaling that would happen if it were just copper. Besides the iron plated tip, there is also the nickel/chrome plating on the rest of the exterior of a Hakko tip.
In other words, if you have a very very specific job that cannot be handled by one of the stock Hakko tips.... then perhaps it's worth your while to make one, but I'd suggest using a different soldering iron, one that just uses a copper rod that is held in place with a screw and the element surrounds the tip. For the measly $4 to $6 per tip that I've paid on ebay for genuine Hakko tips, it hardly seems worth the effort to make lower quality tips.
I still remember my first soldering iron, it had a copper screwdriver shaped tip and I simply filed it back to shape every so often, until I ran out of tip.... I'd then buy a new tip for it and start over again.
Regards
Christian
Ooops... I seem to have trailed off on the idea of making tips from scratch.... Frankly, even just re-plating Hakko tips would not be worth it... those tips are known to loose their sleeves when they get old and many times the sleeve remains stuck on the ceramic heater which causes more work and possible parts replacement.