Surely that depends on your parts? Quality caps aren't hard to come by, if you follow the circuit of something else (or pretty close to it) i can't see why it would be any worse... unless the builder made a mistake
The question would be where would you get the circuit, do you have the metalworking skill required to make a case for it, or are you going to buy a broken psu and strip out the internals and use that to base your own in.
Heatsinks, in whatever device you make, whatever box you stick it in, you'll need to attach heatsinks to the right part, custom make heatsinks and again you'll need some serious metalworking skills/machines to machine a few chunks of alu into the right shaped parts.
Make it so big each part can easily have its own heatsink added and buy a bunch of small cheap chunky heatsinks.
Making a PSU is probably fairly easy, although as I said, finding a decent circuit to copy exactly will be difficult, a basic crap one, sure, a patented Corsair circuit diagram, not so much. But building a psu into a small normal PSU sized box, cooling it, getting heatsinks that will fit, having the confidence to use it in a pc with £500-2000 worth of parts in it could fry, potentially catching fire/blowing leccy supply in the house and not being covered because you can't prove the device was safe and of appropriate standard etc = not even close to worth it.
Its a nice idea, but theres a reason I can't name a single top end world class overclocker who build their own psu's with insane power regulation, while they are quite happy to build their own cases, cascade cooling systems, LN2 cooling, submerge pc's in non conductive liquids, build them in fridges.
When it comes to playing with the device that works with the mains electrical supply, peeing around just isn't worth it.
