Most of the larger supply houses sell phosphor bronze sheet for shim stock and what not if I'm not mistaken. That said, I just buy the premade version from USAknifemaker.
I did see where one maker punched a bunch of holes in some sheet, cut them out, and sandwiched them all together on a mandrel to true them up on his lathe. Seemed like a pretty neat and efficient way of doing it, but like Frank says, you're not saving a great deal by making them yourself, and they're fairly easy to roll into the cost of the knife. Now, if your working with custom pivots or need an odd ID/OD for a particular project, obviously its worth punching them out yourself.