Good luck! As others have said, buying components at retail price will just about double your costs, as you simply don't have the buying power of large manufacturers. The internet is your friend here, but you need to decide what you want to use, and ensure it's compatible with your frame, forks, wheelset etc, then spend as long as you can checking prices online before buying.
Once you know the proper name and part number, type it into Google and search. It'll often bring up a list of results including postage/delivery costs and you can choose from there. Be aware that not all special offers show up this way, but the following sites often have bargains online, so check them manually just to be sure:
Ribble, On-One,
Tredz, Tweeks, Woolly Hat Shop, Absolute Cycles,
CycleStore, CycleSurgery. ALso check the main sites at
Evans, Merlin,
Chain Reaction,
Wiggle to see whether they are having a sale or special offers on big purchases.
Consider also buying a donor bike. One example would be online retailers like Canyon. If I were to be building a bike on a custom frame I would look at their range for a bike with the groupset that I wanted. Their prices are ridiculously cheap with fantastic component spec, often jaw-droppingly cheap. You could buy their 105 groupset bike for example @ 999 euros, swap the bits onto your new handbuilt frame, and
ebay the original frame and any leftovers to recoup costs. I challenge anyone to find a 105 groupset for less than say £400, and less than £160 for the Aksium wheelset that bike comes with. £560 for wheels and groupset, leaves £240 out of the initial £800 you spent. Tot up the costs of a decent set of bars, seatpost, saddle, tyres, and you'll see just how much you'll be saving by going down this route. Ebay the frame and finishing kit off the donor bike and you'll be laughing. Possibly!
Whilst we're on ebay, be aware that it is not a source of many bargains. It's great for consumables and finishing kit like cables and chains, but quality components with a generally good reputation tend to attract silly bidders, and you'll see a used mech going for a fiver less than you can buy a new one for, so do your research beforehand and don't get caught up in a bidding frenzy. It is however good for selling stuff you don't need!