Anybody here winding their own capacitors?

It would take some fair mechanical aptitude and a willing to experiment a great deal to make the machinery required to get repeatable results.
Would be a fun retirement project provided I had acquired the right testing equipment before then.

I’ll likely stick to hunting for decent parts in the realm of world wide production…
 
I recall my older brother in the 1960s Cub Scouts making capacitors out of the usual materials, aluminum foil and wax paper. I don't know how these were measured, I can only guess charging with a battery and then looking for the meter kick when connected to a VTVM. I can again, only guess that these would be used in a crystal radio.
There's plenty of problems, that the most capacitance one might reasonably get is 1,000 pF, the tolerance from unit to unit would be high (a simple solution, just make lots of 'em, measure each one with a modern 4+ digit capacitance meter, then sorting by value would show you the closest ones), voltage rating unknown (simple solution, make lots and measure the voltage when they start to arc over, destructive but it gives you an idea), and on and on.

But imagine the price you could get for boutique, hand-wound capacitors!