Building the mechanical part of the robot is one of the funniest part of projects, it’s just like building LEGOs when you were younger, but with tougher parts and tools.
Since I bought a robotic arm kit from Lynxmotion, there are detailed instructions on their webpage. You just need to follow the instructions, but pay extra attention to the pictures because not all the details are covered on the text; I had to disassemble parts several times to fix things I found they need to be in other way. Also you need to have some basic tools like screwdrivers, clippers, wrenches and allen keys. With all this, it’s just a matter of expending time on the building process and you will have a nice piece of hardware for further developments.
One interesting feature during that process is that you start to realize what are going to be some of the limitations your hardware will have and some of the challenges you will face. For example, I soon appreciated how rigid servomotors are, I mean the word actuator is literal, they just act on the way you order them to act; there's no sense of intelligence at all compared to when a animal moves a limb. Also I realized how much weight each articulation have to handle and how easy is for some servos to get stressed if too much weight is carried during many time.
One important outcome was that I discovered I want to explore more about proprioception, which is the perception of your body parts, its weight, force, position. I think that increasing this type of intelligence on robots would result into projects that could be applied to a wider range of situations.