I've spent the past ~10 months building RichBoyJhae's AT-AT, the instructions for which are sold on brickvault's webstore. It's cost me several hundred dollars and a lot of time to get all of the pieces, and I'm buying them used for the most part. I would suggest getting as many parts as possible through the Bricks and Pieces shop on Lego's website, though they won't have everything you need it is often more affordable than bricklink, especially shipping, and also means all the parts you order through there are brand new. That said, you'll inevitably have to order some of your parts through bricklink, these custom models from what I've seen usually take advantage of parts that are no longer produced or in circulation.