Unless you have a bunch on money to spend (way more than you will ever make back in made bullets!) or you are able to build the dies yourself (mostly metal lathe work, some heat treating, some lapping, a LOT of accurate measuring), you can pretty much write it off as a hobby for those that really really feel the need to be self sufficient.
If you are wanting to build bullets for accuracy, which since you are asking about 22 rimfire casings, maybe not so much, but anyway, J4 jackets are priced about the same as decent factory bullets already, so that can be a starting point...
A set of Corbin"Free Bullets from Rimfire Jackets" dies is running close to a G-note and a year wait to get. Then you need a press.
The same money will buy you a metal lathe and a bunch of stock to get started though.
Yeah, it can be done. It's not economical unless you can't get them any other way, or you want another hobby.
The swaging forum on casboolits has some other sources, garage operators that are building swage dies. Your money, your call. I'll build rather than buy, as I will always be able to give the maker a hard time if there are problems, eh.
Cheers
Trev