Disclaimer:   Making your own skimboard can be a fun project if you really want to do it.  However to make a good skimboard takes a lot (years) of practice.  If you attempt to make your own skimboard (s) be prepared to make at least a few really bad boards before you can even make anything decent.  If you are trying to make your own board to save money, you should rethink how much its actually going to cost to make a good board.  For instance materials alone for a foam board can run well over $100 (US).  If you have to make three boards before you can turn out a decent one then you are not really saving any money.  And trust me, your first few will not turn out very good.  What this all boils down to is this.  Unless you just have to make your own board, go out and buy one from a professional manufacturer.  Since I haven't convinced you and you still want to make your own board, here is a brief summary of what I know...
 

Wood or Foam?:  When thinking about making your own skimboard you must first make one basic decision, wood or foam.  Wood and foam cores each have their own benefits.  For an overview of which kind of board is the right one for you, see the  board design  section.  Needless to say, foam boards are better, more expensive, and harder to make.

Making a Wood Board:  Making a wood board is a far easier endeavor than making a foam board.  Since I have never made a wood board and don't really know that much about it, I cant tell you very much.

-  Obviously you are going to need a piece of wood.  What kind of wood you ask?  I don't know.  But I have been told that mahogany plywood is best if you are not going to coat it with fiberglass and birch is pretty good for boards that are going to be covered.  3/8 & 1/2  inch thicknesses are common.

-  After you find your piece of wood, you are going to want to shape it.  First you are going to need to figure out what shape you want.  I recommend making a trace of another board that you like onto the plywood.  After you do this you can just cut it out if you want to make a "replica" of the other board or you can make slight adjustments to the shape as you see fit.  Once you are *sure* you have traced out the shape you want, cut it out.  Assuming you were able to cut it out smoothly, you can now begin shaping.  Shaping consists of rounding off the rails and making sure all the edges make nice smooth curves.  There are many different types of rails and picking which kind is best for you can only be accomplished through trial and error.

-  Next you want to put some rocker into it.  Rocker is the 'skim' name for the curvature in the nose (if you don't know this, please just buy one :)  ).  The first step is to soak the board in water for one or two days in water.  This softens the board up so that it is flexible.  The best way to actually add the curvature is to use clamps.  Lay the board on a table of some sort.  Place a piece of wood (or other hard object) about 1 inches thick under the nose.  Then clamp the board to the table.  It would be best to use another piece of wood on top of the board to get the rocker to be even all the way across.  Don't clamp too hard cause it will crack the wood!  Leave the board for 2 days or so to dry.  An alternative method is to put suspend the board by putting blocks under the nose and "tail".  Then put a heavy weight in the "middle" of the board to bend it a little.  The amount of rocker can be adjusted by adjusting the height of the blocks.  Leave it overnight or longer.  Example Photo

-  Finally your going to want to coat it with something to keep the water out.  Waterlogged boards suck.  Even wood ones.  I've heard of people using all sorts of stuff to do this.  You can glass it with a layer of 6 ounce cloth or just coat it.  I would use some type of resin for a coat only approach.  Preferably a polyester based resin (not epoxy).  You can generally find resin at a marine or aircraft supply store.  Once you have the resin just brush it on in a thin coat and cover everything.  If you are using fiberglass you may want to put a sealer on top of the fiberglass as well.  You may also consider doing this only on the bottom.  When its done, sand out the imperfections in the coat and presto, a wood skimboard.

The components of a foam skimboard:
 

• Foam:  The foam obviously makes up the core of the skimboard.  The main things to worry about when choosing a type of foam are thickness and density.  Basically whatever thickness foam you get will be the thickness of the board.  It is possible to sand down the thickness but generally just try to get the right thickness foam... common thickness are 3/4 inch and 5/8 inch.  The thickness you choose is a personal choice.  Density however is not such a personal choice.  A denser board equals a heavier board.  However it also equals a stronger board.  Denser foam as you might imagine is stronger lengthwise so it resists breaking.  However the real benefit of denser foam is that is resists pressure dings.  Pressure dings are essentially just dents in the foam caused (usually) by your foot.  Often however these dings result in a delamination, a place where the fiberglass separates from the foam.  This separation creates a weak spot in the board which is likely to be where you break it.  The moral of the story... delaminations suck.  To avoid pressure dings and hence avoid delaminations you want to choose a dense foam.  Surfboard foam by comparison is very lightweight.  The stuff the pro's use is called Divinycell.  Divinycell has different densities.  The good stuff is called 'H-80' while the softer but still pretty good stuff is called 'H-60'.  Getting this stuff is probably going to be a problem, as is getting foam in general.  You will want to try any aerospace supply outlets or marine supply outlets.  Often they want to sell the foam in bulk (15 sheets, 1 sheet makes 3-4 boards).  If you want to buy only one sheet expect to pay an inflated price, over 100 bucks.
• Fiberglass:  Fiberglass is really where the strength of the board is.  Actually I take that back.  Without the foam the fiberglass isn't that strong.  But then again, without the foam the fiberglass isn't very strong either...  So I guess it's the combination of the two that make the board strong... I suppose thats why they are called composites.  Anyway, there are lots of different kinds of fiberglass cloth.  There are different weaves and "weights".  The "weight" is essentially the strength of the cloth, common "weights" are 4 oz and 6 oz cloth.  As far a weaves go, stick with a standard cross weave to start (that is the weave that just goes back and forth at 90 degree angles).  Usually you want to use 3 layers on top and 2 on the bottom.  This provides a fairly strong but somewhat heavy board.  Once you get better at it you can try making boards with 2 layers on each side.  but be careful, they can break pretty easy.
• Resin:  Two types are generally used.  Epoxy and polyester.  Epoxy is a little harder to work with but is better class of resin if you know how to use it.  It was developed specifically to replace polyester resins by exhibiting superior strength characteristics.  The main things that have kept it from completely replacing polyester resins are elevated cost and difficult usage.  Resin, like foam can be found at aircraft and marine supply stores.
• Carbon:  Carbon is like fiberglass except it is much stronger and more expensive.  To use carbon on a board you just substitute one layer of fiberglass for a layer of carbon on each side.  This will yield a stronger board at the same weight.  However Carbon can cost as much as 50 bucks a yard so you might want to practice with fiberglass first.  My board has Crows Weave Voyager Carbon on it....

Glassing:  Glassing is, like I said, the tricky part.  There are basically two approaches, the traditional method (like they shape surfboards), and the vacuum method.  Unfortunately I don't know too much about glassing a board using the traditional method.  All I can really say is that you find some way to put the fiberglass on the board!  It surprises me how dumb I am sometimes.  Obviously you have to find some way to put rocker into the board.  I would suggest building a table (kind of like a mellowed out quarter pipe for skateboarding).  You can lay the fiberglass on the table and then put the resin on the fiberglass (obviously the surface of the table should be something the resin wont stick to).  Then put the shaped board down on the resin/fiberglass.  Then lay some more fiberglass on top of the board and use resin to adhere it to the foam.  Make sure to get the fiberglass deep down into the corners where the rail of the board meets the table.  Maybe use some weights or something to keep it on the table and then pray that it comes out ok...

The other way which is a lot like the way described above uses something called vacuum technology.  This is a technique for glassing borrowed from aerospace.  Unfortunately I really cant tell you very much about it.  Board manufacturers would be very upset with me if I did.  I can tell you however that the technique is not top secret and you can probably figure out how to do it by spending a day at a good (university) library.

Conclusion:  If all of this sounds like a lot of work, IT IS.  That's why I suggest buying your board from a company who knows what they are doing.  But if you must give it a try, have fun and good luck!