Could we built our own high end electrolytic caps?

If you were to make film caps with silver foil and wire, you would need a reliable method for terminating the wires to the foils - how do you propost to do that without the proper equipment? Also, how are you going to compress the stack so that it is a proper capacitor rather than a condenser microphone? Do tell...
Far easier to just buy some proper stacked film capacitors on the NOS market.
 
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Epoxy? That might be too lossy a dielectric to use with teflon, it could dominate the performance (and not in a good way!) Compress and heat in a vacuum perhaps, to just the right temperature/time profile curve... Perhaps clean/etch/activate the metal surface with some chemical first for a better bond?

Oh, solder will wet silver, and PTFE survives soldering temperatures, so attaching wires should be straightforward!

Certainly there's more scope for success than with electrolytics. You could probably kock up a multilayer silver mica cap the same way, using superglue and enough pressure to squeeze it out to a very thin adhesive layer, perhaps the closest to a home-brew ceramic capacitor that's feasible! Not everyone has a sputtering rig to hand after all!