... I have been told it is cheaper to build it yourself, but I don't see how.
That depends on the individual. To compare the results of "build vs. buy" you have to look at initial cost vs. total cost after a year or two of upgrades.
If you've thought it through and know exactly what you want/need, odds are a build will cost less unless all you want is a gun off the rack that won't be upgraded. (And how often does that happen with an AR!)
I'd say the worst path is to build using crap parts and little research and little understanding of what you want. Next is buying a cheap rack gun, then upgrading it over time. The best path is knowing exactly which configurations will work for you then go shopping for the best deals and specs. If a complete rifle will do it, great! But for me and many others, a careful build is the answer. (And I do make a big deal out of gas key staking and other critical details.)