Hi remist,
I'm not sure what you're willing to invest to build one but you can purchase one relatively cheap.
Here's a link to a 5-speed press from Harbor Freight which I own. I can attest that it is a very good drill press for the money and suits my needs well for knifemaking. It's only $70:
http://www.harborfreight.com/5-speed...ess-38119.html