Oil extraction from lemon
I know that probably this is not what you want, but the simplest way to get lemon flavored oil is by infusion with a neutral oil. Non-polar dissolve non-polar, so this will do the extraction. But you won't be able to separate the pure lemon oil.

Now, if you really want pure oil you probably have to go for distillation. For that, you will need a distill like this or that.

Some people make it, but you can find either version on Amazon (which is safer). Once you have that, it is not that hard. There are many video tutorials like this one or this one for the pressure pan setting. 

It is important to keep in mind that any essential oil extraction has an extremely small yield. As you can see from the video, you need a huge amount of initial material to even be able to see the oil layer floating above the liquid phase.