NOTE: make sure you read all steps before attempting to build your own. every detail is important in making a rail and if one things goes wrong, then your whole rail could be ruined. Also, make sure you have someone experianced in welding/cutting metal. We don't need anyone getting hurt!

Get the materials:
Lets say you wanted to build a square rail. you get some 2 inch square iron (hallowed, so it's not too heavy), get some flat iron for the bases (thicker the better so it doesn't bend, although all metal will bow so be sure to clamp the legs of your rail down.-this is very important.) and then no bigger than 2 inch square (or rounded) inch iron for the legs of the rail. You'll need to have a welder and something to cut the iron with.

Make your plans:
decide how long your rail is going to be. Also decide how high, and if your are going to put any slant in the rail. then mark on the iron your mesurements (it's important the legs are even if you don't want any slant, also if you are going to have a slanted rail, then cut the legs so that the top isn't flat, it's at an angle, with one leg shorter than the other. this is so when the main rail is set ontop it is slanted how you would like it.

Start the cutting/welding:
Caution- DO NOT USE TOOLS IF YOU DON'T KNOW HOW.
Cut the iron how you mesured it. when your sure each peice will fit on right then start welding things together. Most people prefer starting with the main rail and working off of it, other prefere putting the base together with the legs first. It's up to you. Make sure the legs are welded close enough to each end of the main rail that when you are standing on one end it won't come up on that end like a seesaw, approximatly 6 inches from the end of the rail. One way to fix an uneven rail that is see-saw-ing is to put some extra iron where-ever it is needed to balance the weight. It is very important that the legs are even. If they are not then they will either come off, or the rail will not be balance. neither is good. When your putting on the base it should stick out to each side of the rail around 12 inches. But this is also at what you think is best. The longer you have it, the more suport there will be, but once it gets past a 16 inches out, it's most likly not going to do much good to make it longer. I'd probably go with a 3 inch width for the base a bit bigger wouldn't hurt, but it all depends on how large your rail is.
When all the peices are cut and welded and place, you make sure you cut the edges down so that they arn't sharp. no one likes to bail on a sharp surface...

and whalah, let it cool down from the heat of the welder and there you have it, your very own rail.

Here are pictures of 2 example pictures of a kinked and flat rail both 8 feet long. I made the mistake of not making the base thick enough so it has bent. shame on me. Also. i used iron to make my rails. It's good for you to know that steel and other heave/durable metals will also work to build rails. But before you go just using any metal, make sure it doesn't rust easy, bend easy, or can't be around the heat/cold of your climate.