Development

The FCC must approve all radio devices, but I'm not sure how the rules apply to a device you don't plan to sell commercially.

In reality, if it works, no one's going to come arrest you. No one would know. If you built a GSM phone your carrier probably wouldn't even know, depending on how they treat IMEI numbers.

If you were a very skilled electrical engineer, you could probably build a working phone using a reference design kit as a starting point, for as little as a few thousand dollars.

But it would be a massive thing that wouldn't come close to fitting in your pocket. To build something anywhere near as small as a real phone, you can expect to pay around $50,000 to have a company with the right equipment build you a real, working prototype of a typical phone.