I looked into making one. I couldn't find any Amber beads locally so I would had to order them online. I couldn't find a good deal on the Amber without buying in bulk and still that was more money than I was wanting to spend. In the end it was easier and cheaper for me to purchase one already made.
I would think they would be simple enough to make. Just buy some sturdy string (like hemp) and string a bead, tie a knot and repeat. Ours have screw claps but you could use whatever you want. Some prefer a magnetic clasp so the necklace will break away from the baby before it actually breaks the necklace... for us, that is just begging DD not to wear it and play with it. Anyway, HTHs.
Oh, also make sure you are actually buying Amber there is a lot imitation amber out there. Also, the lighter Amber contains more succinic acid (analgesic) than the darker.