Trev:
It really depends on how good you are at woodworking and how much work you want to do.
The MAR-K oak bed wood is "Grooved, sanded, cut-to-size and ready-to-finish. Our show quality oak is kiln-dried with a thickness of 3/4". Bed-to-frame mounting holes are offset and countersunk for a flush surface. Made in Oklahoma City, USA. " Many places sell wood for less because they either don't cut the boards to the right size (and expect you to cut it down), don't put the large, countersunk bed-to-frame holes in (which requires a special tool to do) or don't groove the wood properly.
If you still want to do the wood yourself, be sure to take a look at these instruction on our website before you start:
http://www.mar-k.com/drilling_mounting_holes.html
http://www.mar-k.com/bedwooddimensions.pdf
Hope this helps.