Cutting frames yourself is not too bad but it does require a high quality carbide tip blade, mitre saw, and saw cutting surface extensions (to support the length of the moulding). Nielsen moulding comes in 10 foot length which can be a hassle to transport or ship.
Bringing the pieces you have to a custom frame shop can work but keep in mind they make most of their money on resale of the components used to make the frames.
You can also consider online frame wholesalers like my company and others. Just google Nielsen metal frames or Nielsen frames. My company has over 60 frame sizes and we also do custom to any size you need.