Well it's pretty simple really. At leas my version is at any rate.
All you need is a handful of parts and it can be made for less than $20
Ideally you'll have a strong magnet. I've used old strat pickups, but Alnico Bar Magnets are available on Ebay pretty frequently.
The Bar magnet will probably give you a better result.
Apart from the pickup, my sustainer was built from stuff readily available from the local electronics store.
The thinnest enamel coated wire that I found is .25mm, a bit smaller would be better (tighter coil), but this was all I had to work with. On the strat pickup with the orignial wire removed I wound a coil to 8 ohms. I think it was 160 turns of the pickup. There is a handy turn calculator online here where you input your wire gauge, magnet size and desired resistance.
Incidentally the 33awg roll from Jaycar is 16 ohms +- an ohm.
To power it all I used a simple 386 chip based circuit that can deliver 1/4watt at 8 ohms.
It comes in kit form and usually costs less than $9
Simply connect the tip of your guitar jack to the input of the circuit and the sustainer coil to the speaker terminals.
If it doesn't do anything, try reversing the speaker wires as there may be a humbucking effect.
Every coil I've made has been different, some strings will feedback more than others depending on how sloppy the wire wrapping has been done.
Unfretted Forum Thread
Jagmaster Sustainer Guitar
Gretsch Sustainer Project
2nd half of this song shows my first sustainer in action.