http://www.humanspeakers.com/howto/grill-cloth.htm
Hey that's exactly how I've built my grills - never even read that site.
Although "the best grill is no grill" for best sound, many people like them because they give a more finished look to a speaker and blend in better with the home decor - we're just used to seeing them that way. I don't blame purists for deleting them though - especially with some really nice looking drivers - why hide them?
Anyway, I built mine with 1/2" quarter round pine moulding with 1/4" particle board as a base. I first cut the board to the outside dimensions of the frame I wanted, then cut out the inside to 1/2" - this gave me a strong, flat base to glue strips of the moulding to. I cut the moulding square, and bevelled the corners by hand with a dremel tool. I sanded them smooth and filled imperfections with wood putty. Then it was just black paint and attaching the cloth as in the link above.
Sidebar - I actually use small strips of high quality velcro to attach the grilles to the speaker - not as neat as pegs but oh so easy! Incidentally I get all my materials at Home Depot.
I don't know if this should be a new thread, but maybe some of you can contribute other ideas you've had about non-cloth type grilles, like metal screens or very thin vertical bars, etc. These would look great if properly done, leaving the drivers visible and hopefully not compromising the sound with diffractions, ringing, etc. If you've done anything like this it would be great to see photos, etc. - maybe posted on other threads that you know of. I'm going to do a search too. Thanks!