Depends on energy the complexity of the project, your experience, your time. If you don’t have the right tools, planer, tablesaw, routers, bandsaw, etc, and you main intent is to save a buck or two, and the projects are simple, then you are probably better buying. The manufacturers of wood the DIY particleboard veneer stuff, mass produce, buy materials in bulk, etc. But even higher end products, you aren’t going to buy lumber as cheaply as they do. They can buy hundreds of board feet at a time. I used to buy hundreds of board feet at a time, while working for a construction company, which also had a small millshop. By the time you buy the lumber, going to a local lumber yard, not Lowe’s or Home Depot, and considering your time, you might break even. The local lumber yard buys their lumber from lumber wholesalers, and mark up, of course. The wholesaler isn’t likely to sell less than 500 board feet at a time. Meaning you pay the mark up.
But I’m not trying to talk you out of it. In the years to come, you can take pride in your efforts. It could become a family heirloom that is passed down to your kids and their kids. So if you have the time and enjoy woodworking, go for it. Just don’t expect to save much, if anything.
A couple suggestions, don’t buy hardwood from the big box stores. The local lumber yard is probably cheaper. Plywood at the big box stores is competitive if not cheaper, but their prices on hardwood and milled trim are crazy. And try asking garden equipment around some millshops. They may be able to point you to some people that fill in the gap between wood wholesalers and retailers. Usually they are millshops themselves, but are willing to sell maybe 50-100 board feet at a time, at a price per foot a bit more than the wholesaler, but cheaper than the retailer, but at least you don’t need to buy 500 feet at a time.