Building your own Cold Storage Wallet

In light of all this talk regarding what the best method of self custody for bitcoin and crytptocurrencies is, I want to further dive into making this a reality for people.

We all understand that exchanges are the bottom of the barrel. Probably suffice for the average user with minimal capital invested and less tech savvy, but most people that are on these forums are likely beyond that.

For the rest of the people here, I imagine there's a mix of Web wallets, applications, retail Cold wallets and paper wallets.

As my account grows, I feel more and more uncomfortable keeping my funds on a Web Wallet. I feel little trust in buying a Cold Wallet build by a company due to recent news of data leaks, and so one thing I want to explore more of, is the construction of your own, off-line hardware wallet.

Is this the most secure method of storing your bitcoin/crypto, regardless of how difficult it may be to set up?

Does anyone have good resources in setting up something like this?