Up to what frequency is it practical to make my own filter?
That depends on your knowledge, skills, equipment (to check if the filter works as intended) and also what type and components you'd to make a filter.

For active filters maybe you can push these up to 10 MHz perhaps. Not tried that myself yet.

For discrete RLC filters I'd say up you can also go up to 10 MHz.

You can push that to maybe 100 MHz if you also have a signal generator and an Oscilloscope (both up to 100 MHz obviously) to check the filter you build and compensate for parasitics.

Beyond that 100 MHz you really need a spectrum analyzer with tracking generator or a signal generator. A network analyzer would be even better but they are expensive.

Above 100 MHz you could consider microstrip type filters, these are special patterns on a PCB. It's work for an RF guru to design these (in an EM simulator).