Yes but doing so is a lot more complicated and error-prone. Most people don't have metal smithing equipment at home, or the space or training to use it to manufacture a useful gun. Plus operating an unregistered firearm is illegal in most places.

By contrast you can just buy an ammo reload kit with all the necessary tools. You can do this at a dining table or a desk or a kitchen counter, it doesn't take a lot of space, and you can learn to do it in an afternoon. And it's legal in the US to own those kits and pack your own ammo, and you don't need a license to reload for personal use, only for distributing.