Building one by yourself is very dangerous unless you have VERY solid knowledge in Pneumatics and Air-smithing.
Paintball guns run at high enough pressure that a poorly built body will burst and possibly damage nearby people/things.
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If you wanted to build a basic paintball "shooter" you would need some metal and Pvc pipes, sealant, a valve and a co2 adapter. Basically you would follow instructions for a potato gun, but scaled down to fire through around a .70 (to fire .68) inch barrel.