My local Wal-Mart (Moulton, Alabama) sells distilled water for $0.68/gallon. The Wal-Mart down the road from the community college I go to sells it for about $0.75/gallon. I'm sure your local Wal-Mart (or any other chain grocery store) will sell it for about the same price. Maybe that's the way to go unless you're planning on using lots and lots of water.
I've never researched how to make a still, so I dont know ow hard it would be to make one. I would suggest just stocking up on distilled water from Wal-Mart. My color photography class stocked up on like $30 worth of it, and we had a good bit left over. In fact, I brought some home with me and used some of it to develop film in my bathroom. I still have two gallons left.
If you're set on building a still, I say go right ahead. It would actually save you from buying distilled water. If you plan on using lots of water, it might be worth the investment