Just a point of view here - a lot of the people on the forum are very knowledgeable and have dealt with a lot of this type of question before. I'm not exactly sure what you mean by "build a rocket", but this can be interpreted in one of two ways:
1: You want to build a rocket from tubes of paper, raw chemicals and glue. This is incredibly dangerous and this is what people are warning against.
2: You want to build a rocket from kits, parts of home-rocket supplies and (most importantly) commercially available rocket motors (like Estes). This is FINE and done all the time. I takes care the further you get away from a kit rocket, but will have very little risk to your face unless you point it at yourself at launch.
In short, rocketry is fun and very dangerous. buying the dangerous stuff from commercial vendors is safe as they have done all the safety stuff so you don't have to worry about it yourself.
---------- Post added at 12:42 AM ---------- Previous post was at 12:35 AM ----------
I should probably add another point to this. I have an A in Chemistry A-Level. I took a further Chemistry class at university for the sheer fun of it, so I know the theoritical stuff. I have 'experimented' before with Thermite, gunpowder, atomised-particle explosions and a lot of other stuff that most people wouldn't want go near. I have yet to try amateur rockets using my own homemade fuels because they scare me. I'm not saying that you shouldn't do this, as I'm a strong proponent for experimentation to see if they work and learning through mistakes (and the Darwin awards), but if you're doing thing as dangerous as these, take baby steps and learn SLOWLY until you really REALLY KNOW what you are doing.