I've done it a couple of times, years ago. Once in the '70s and once in the 80s, for relatives. In those days, it wasn't unusual to find a receiver for sale at gun shows or in shops. I used surplus parts whenever I could get them and mail-ordered the others. One was mildly accurized by peening the rails and using NM slide, barrel, and bushing and some kind of adjustable sights, plus a modest trigger job. One was just a basic shooter. Both were made (back then) for far cheaper than an off-the-shelf Colt, and are still in use.
Today, it's like building a car by buying the repair parts and putting them together. Your finished gun will cost way more than a corresponding commercial model, and probably won't be as accurate or reliable unless you have a lot of experience and time to tinker.
I thought about getting a receiver to permanently mount my .22 conversion kit on, but it turned out to be cheaper to buy a complete Rock Island, use it, and just store the .45 parts.
I'd recommend you shop around for the gun you like and buy it.