The simplest tasks are often the biggest challenge. Many can program a microcontroller; not as many know how to make a simple actuated joint, a custom gearwheel, or a custom chassis for their creations. With 3D printers, we've been promised a revolution in desktop manufacturing, but many of the issues are more fundamental - having to do with mastering CAD software or understanding materials science to make lightweight and durable parts. Meanwhile, on the manufacturing side, a simple, affordable, and home-workshop-friendly solution - CNC machining coupled with resin casting - is already within reach.
This guide is more or less modular. If you're interested in buying a CNC mill, keep reading. If you already have one and know how it works, or want to try the overall process with a 3D printer or other manufacturing process, you can skip directly to the relevant part.
lcamfuf wrote a book on some classic DIY/maker techniques for building stuff, such as CNC machining, mold making, and resin casting. Cost is a consideration in everything he wrote about so if you're not rich or well connected but want to get into building things, give this a read. You can read it chapter by chapter or all in one go.