You can't make your own essential oils without some serious know-how and serious chemistry equipment.
You can make your own herb-infused oils, though. They won't have the scents as essential oils, but they have the magical (and medicinal) properties of the botanical infused into it.
You can basically make either a cold or a hot oil infusion using a sterilized glass jar, a quantity of the dried plant matter, and a carrier oil of your choice - olive oil is a fine household substitute for some of the pricey oils like Sweet Almond Oil.
I have a blog entry for a Crown of Success Oil recipe that also details my method for making herbal oils: