Julia Suits, a tinkerer with a Flickr account, had this to say to Make Online about her endeavours in chess set building:
[As I]headed toward the light-bulb aisle in my local hardware store a few years ago, I stopped to admire the bins of nuts,bolts and the like ... I love metal,and have cast and welded all types as a sculpture major in graduate school. When I saw the little bin containing two different types of castle nuts, I immediately thought of rooks.
At the time my three sons and I hosted a weekly chess club, so chess was on my mind a lot. With my boys in tow, I returned with graph paper and we computed what sorts of bits we might want (we didn't know for sure) for each type of piece and how many in total. An hour later, after poring over numerous bins and waiting for the clerk to saw the threaded rod into measured lengths (for kings, rooks,and bishops), we went home with about fifteen pounds of loot, including spray paint for the black pieces. We created a set not far different from what is pictured here. Since then we've added washers to some and added a flanged hex nut to each of the bases to make the set uniform and even more stable. The hardware chessmen were a huge hit and the other boys built their own sets.
If the set caught your eye, you'll definitely want to check out her Flickr account for a deep look. There you'll find close ups and "exploded parts" style photos of various pieces. If you've tried your hand at building a custom chess set of your own, we'd love to see pictures of it in the comments.