I was going to give step-by-step instructions on how to make your own chess set out of hardware store parts, but laziness took over and I decided to post photos instead. The parts for the pieces cost about 50 dollars and those for the board (including aluminum square, paint, frogtape, exacto knife, and so on) maybe another 30-40 dollars.
The pawn:
The post was made from a 5/16" thread cut up using a hacksaw and vice. I recommended
not doing this and just buy 16 short bolts, similar to that done for the other pieces.
The knight:
The wingnut was cut with a hacksaw and vice. The bolt was glued using model airplane glue to a washer for the base.
The bishop:
That's an acorn nut on top, not a cap nut.
The rook:
The queen:
The king:
The set:
The dark pieces were spray-painted 4 times (holding each piece with a gloved hand) with rustoleum blue.
The board (bought as a 12"x12" aluminum square) was covered the frogtape, cut up into 1.5"x1.5" squares using an exacto knife, and the tape over the "black" squares removed. That was spray-painted with rustoleum blue. It needed several coats since the aluminum had some oily patches. After drying, the tape was removed and the whole board was spray painted with clear rustoleum sealer (I'd skip that if I did it again). I then covered it with clear "contact paper" (actually, a vinyl roll with an adhesive on one side) to keep the paint from chipping.
