Hi Rockscreation16,
Yes this can be a very rewarding and cost effective approach but it has it’s own set of challenges and frustrations. There are also several “degrees” of building your own. Hopefully the rest of this post won’t put you on “information overload” and if it does … just take what you need and leave the rest 
The first degree is to become knowledgeable of the materials and layering schemes in a mattress and then choosing a pre-built mattress that fits what you want in theory and in testing in terms of materials and layering. All the better outlets and factory directs will tell you layer by layer what is in their mattress so if they already have one that is the same as you would build (or you discover is perfect in your testing) and they have the value you are looking for (local factory direct manufacturers and sleep shops that sell mattresses made by local manufacturers or smaller brands tend to have the best value), then you don’t have to re-invent the wheel. Some of these may not have exactly what you want but can make custom adjustments in their “standard” mattresses and some local manufacturers will build a mattress that is exactly what you want in every detail even if it is completely different from any of their standard models.
The second degree of DIY is to buy a mattress through an online manufacturer who specializes in mattresses that to differing degrees you can choose the materials and layers in your mattress and they will ship it to you with a custom zipper cover and all you have to do is put the layers in the cover, zip it up and you’re done. The challenge with these is that you don’t have a chance to lie on them first so local testing of materials and various layering patterns using mattresses where you know what is in them can be used as a rough guideline for your choices. This can be a source of great value for those who don’t have a factory direct manufacturer within reasonable driving distance (which has similar value but you can actually test the mattress in person). Most of these also offer various forms of layer exchanges so if your layering isn’t right … then you can exchange layers to make it right usually at the cost of some shipping. If you go in this direction … then it is up to each person how much they want to be involved in the design of the mattress and how much they want to follow the manufacturers recommendations based on “averages” of other people who have a similar height, weight, shape, and sleeping positions. The members of this site that specialize in these types of mattresses (usually using latex which is the highest quality and most durable mattress foam) is in post #21 here. Along with some of the better local factory direct manufacturers that are scattered across the country, they offer some of the best value in North America. Some of the better choices for a memory foam mattress with some degree of custom design are in post #12 here.
The final degree of DIY is where you buy the actual materials from anywhere either online or from a local foam shop (unlike #1 where everything you need is in one place and bought from an actual mattress manufacturer) with an eye to the absolute least cost. You may buy a layer from here and another one from there and a mattress ticking from somewhere else. The difficulty with this approach besides the fact that it takes a great deal more knowledge is that many places don’t describe their materials well or accurately and many places which specialize in the “cheapest” materials have little knowledge of mattress construction and will gladly sell you whatever they can whether it is correctly described or suitable for your mattress or not. If you buy a material or layer that is incorrectly described … then you are dealing with an unknown and it can become impossible to know how to compensate for a material which is something other than what you thought you bought. If you do go in this direction … then the reliability of the outlet, the accuracy of their descriptions, and their knowledge levels of mattress construction and their own materials becomes very important.
If I had a choice … I would prefer #1 … buying from a local manufacturer who already has or will customize a mattress according to what I need and want and has good value. It is even worth a premium IMO to be able to buy a mattress that you have personally tested. My second choice would be to choose my own layers to whatever degree possible through an online manufacturer or outlet that had the materials I wanted and who sold mattresses.
I would tend to avoid #3 because it is somewhat the luck of the draw in terms of what you get from the “cheapest” outlets and takes a great deal of knowledge and skill to know how to put different materials and layers together without the guidance of someone who has been doing this for years. The small cost savings that this approach sometimes leads to over option #2 IMO isn’t worth the much greater risk of ending up with a bunch of foam that isn’t suitable for what you want or need but with knowledge and lots of research it can sometimes be a project that some people may enjoy.
The closest local manufacturers to you are unfortunately about 100 miles away in Charleston and about 150 miles away in Columbia. Post #2 here has a list and a few comments about each.
There is also a list of some of the better retail options or possibilities I’m aware of in the Jacksonville / Wilmington, NC area listed in post #5 here but this doesn’t include any manufacturers.
In the other direction there are several manufacturers included in the Fayetteville list in post #155 here.
While your local outlets may not have the same degree of options or value available … if you want to do some local testing for different materials and layer combinations then I took a quick look and I would focus on the following list. Before you go to any of them though, I would call to make sure that they make the details of the materials and layers in their mattresses available to anyone who wants to know through an accurate spec sheet or cutaway or you won’t know what you are testing (and they may tend to “forget” some of the layers or not describe them accurately). I’ve included some of the brands that make mattresses that may be worth testing (but only after you confirm that there is no more than an inch of polyfoam in the top layers of their mattresses because I didn’t check the specs of the mattresses they carry). Most of these brands have online sites which have general descriptions of their mattresses. One of the signs of an outlet that has some knowledge and can be the most helpful in your search is their willingness to encourage meaningful comparisons based on the materials and layers in a mattress. While the value of these types of outlets is usually better than more mainstream outlets and chain stores … sometimes they may have some surprisingly good value that may even compare well with some factory direct outlets.
http://www.bedman.com/ Myrtle Beach, Murrells Inlet, SC. Eastman House Pure Latex Bliss, Southerland.
http://www.beddingworldmurrellsinlet.com/index.html Murrells Inlet, SC. Anatomic Global, Glideaway, and Symbol
This next list includes some of the manufacturers who manufacture in the Carolinas but only sell wholesale to retail outlets. All of them will provide a list of local outlets in or near Myrtle Beach (with a phone call, email, or by using the retail finder some have online) if you see a mattress on their website that you are interested in testing and their value is often better than larger national brands.
http://sleepworthy.web.officelive.com/default.aspx Licensee manufacturer for Therapedic and their own brand
http://www.parkplacecorp.com/ Medium size regional manufacturer that makes a wide range of traditional and speciaty mattresses. (They also have their own factory direct store in Greenville, SC)
http://www.restmaster.com/ Smaller local manufacturer that makes mainly traditional mattresses (layers of polyfoam over innersprings) including one and two sided mattresses and a memory foam mattress as well. They now also have their own factory direct showroom in North Augusta, SC.
http://www.riversidemattressinc.com/index.html Smaller local manufacturer that also makes mainly traditional mattresses
More information about the raw materials and the different designs of a mattress, which layers the materials are suitable for, and how to fit them to your particular needs and preferences are in the pages that follow each of the overviews. There is more detailed information yet about the pros and cons of latex and the pros and cons of memory foam (the two specialty foams that you will generally encounter) in the articles section. The third type of foam that you will encounter is polyurethane foam (polyfoam) and since the versions of this found in most mainstream mattresses (outside of local manufacturers) is usually lower quality … the challenge with this is usually avoiding it rather than finding it.
Personal testing and your familiarity with the different types of mattresses and materials though are a much more effective approach than theory that doesn’t include your own personal experience.
Phoenix