They are really cool, but expensive as you mentioned. I know Yves Gelinas designed his own for his around the world odyssey. We had another thread going about his movie Jean-Du-Sud Around the World. But this illustrates that it is certainly possible to make your own.
I think it's more about zeroing it in on an angle relative the wind direction. You make adjustments to the angle based on the course you want to keep. As the wind direction changes, you need to adjust the degrees off the wind to maintain the given heading, but I have absolutely no idea of the mechanical particulars. It would be a fantastic project!
When you finish, I'd be happy to try it out for a couple seasons on my boat
