Building a keyboard from scratch is a really tough thing to do and will cost you much more time and money than finding an existing keyboard that fits your needs and using it.
That said, some things you may need for building your own keyboard:
X number of Cherry/ALPS switches. The most popular switch is Cherry and is the one that supports LEDs.
X number of [Color] LEDs.
X number of diodes.
X number of keycaps.
Where X is the amount of keys you have in your custom layout.
Circuit board, home made or custom ordered.
Program to create the circuit board layout.
Teensy or other programmable keyboard controller.
Case, home molded/made depending on material or custom ordered.
USB cable.
Soldering iron and associated bits.
Time.
Programming skill so you can program the controller and the macros and the gaming mode toggling.
Extra parts for when you mess up a little.
-or-
Find a keyboard that suits your needs with all the features that you want. Ducky seems to be a good place to start looking.
[Edit: If you really want to go through with this, it is possible given the desire, time, money, etc and GeekHack can surely help along the way. It looks daunting, but it will become your love when you are done.]