Some building supply stores will have great deals on thin plywood, so keep an eye out. You can also talk go to a construction site and ask for scraps to get cheap or free plywood, and sometimes even wooden spools, which are perfect for this project. Cats are not heavy, so one-quarter inch plywood is sufficient.
Post on Craigslist or talk to a local flooring store for small, thin carpet remnants. It is easier to work with thinner carpet for this project, which works out to be cheaper too in most cases.
At a local building supply or hardware store, pick up a heavy duty staple gun and some extra staples.
The great thing about making your own is that you can design it any way you like. You can create multiple levels or keep it simple. You can even create a single box with carpet inside and out to give your cat a scratching post and comfy bed all rolled up in one.
Once you have your design figured out, all you need to do is shape the carpet around it and secure it with heavy duty staples. It really is that simple.