There are many ways you can build your own personal rail. Listed here are a couple easy and cheap ways that will have you doing rad grinds in no time! This isn't a hard thing to do- it just takes a bit of time to find and assemble all of the parts..

Simple Rail Plans
Supplies Needed: 1.5 inch PVC (Thick so it won't break when you grind)
A 10 ft long 2x4
Two 2 ft long piece of scrap wood
2" (or longer) screws, hammer, and drill
Building Instructions: 1. Drill holes in the top part of the pipe (At least 5 holes spaced evenly- and NOT all the way through!)
2. Take the screws and screw the pipe down into the edge of the 2x4
3. Screw the other wood into the base of the 2x4 at each end. This provides lateral support
It looks like this-
o==============0
||_____________|
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A grinding bar like this works great with plastic plates, but metal will slide fine as well. Metal pipes will last longer, but are harder to drill and more expensive.
Another possibility is to use the metal rails found on top of fences. This will allow you to easily connect several rails making one long rail. All you need to do it cut it down a little bit so that the tapered end overhangs your 2x4 by 2"- 4" and the other end is flush or slightly overhanging. It's also good to secure the rail from underneath to keep the grinding surface nice and smooth. Just use a 1/2" x 4" bolt with a 1/2" nut at each end. Drill a 1/2" hole through the 2x4 and rail about 2" in from the end. As long as you can get your fingers in far enough to get the nut on the bolt (inside the rail) you're set.
If you get really creative, you can attach multiple rails together. This will allow you to practice transfers and intersting variations. All you need to do is build two seperate rails, and attach them together with your screws.
Alternativly, you can go the route that I prefer-- Draw up a picture of the rail you want and take it to the builder. Have all the specs you want ready, including length, pipe width, etc. It may also help if you could cut out a picture from one of the skating magazines out there. My most important suggestion is to make sure the extended base (to prevent it from toppling) is flat. I twisted my ankle and had to sit out for over a month because I landed on one of those supports. Needless to say the hacksaw was brought out and I no longer have that problem! Something like this should run well under $100. (My 10' rail cost $70)

Another Cheap Rail Plan
This rail design works really well- it is extremely stable, and pretty easy to lift. I'd recommend anyone on a budget to try this.
Materials needed:

* 2" wide x 12' long Galvanized Steel Pipe (~$11.00)
2" x 4" x 12' Wood (~$4.00)
2" x 6" x 12' Wood (~$5.00)
(20) 4" common nails (~$1.50)
(or you can use liquid nails all the way down)
(4) 3-4" wood screws ** with 3/8" phillips heads ** (~$.75)
* A steel pole is prefered, but hard to drill- PVC is an alternative, but it's may be too slick to get a good grinding sensation.

Instructions:

(1) Drill 4 -5 holes in the steel pipe that are big enough for your screw's post to pass into, but not so big that the screw's head can pass through it. Space the holes about 2" from each end and aboout 4' intervals. Since I purchased mine from a fencing company, they drilled the holes for me.

(2) On one side only, enlarge the holes with the drill large enough to pass the whole screw head through.


(3) Using the 4" common nails, Take the 2" x 4" x 12' and mount it length wise with the 2" x 6" x 12' making a 'T' shape ( see diagram). I recommend nailing every foot, but more would also improve the rail's durability.

(4) To mount the rail, you need to place it on the top edge of the 2" x 6" (see diagram). Then, using a screwdriver, mark out where the holes of the pipe are. Using the marks as a guide, drill holes to start your screws, or use the common nails to get your screws started. Use the wood screws to mount the pipe.

(5) Rip that bad boy up! Have fun and skate safe.
The latter was designed by cnelson@iag.net Please email with comments or suggestions.
Metal Rail Plans
These are some rad plans for a metal rail. Its sturdy, will last for ever, and is easy to assemble and disassemble. (all materials can be bought at Home Depot or a home supply store and all can be found in the plumbing department.)
Materials (will cost around $50 total)
1. 1 10foot 1-1/4in threaded steel plumbing pipe

2. 3 1foot 1-1/4in threaded steel plumbing pipes

3. 1 1-1/4in steel elbow joint

4. 1 1-1/4in steel T joint

5. 2 1-1/4in steel caps


Directions
Screw the elbow to one end of the 10foot pipe. Screw the top of one of the 1foot pipes to the elbow. Screw the T joint to the bottom of the 1foot pipe. Screw the other two 1foot pipes to both ends of the T joint. Srew the two caps to the ends of the 1 foot pipes to keep the rail from wabling.
NOW YOU HAVE A RAD RAIL!!!
I've included a quick picture I drew so you get the idea.