First you have to know what works best for you. You have to think about what you prefer for weight and then how you prefer the weight distributed which is known as the balance point. Next you should consider based upon your grip and stroke how long you would prefer the cue. The standard length of cues build today is 58 inches, but depending upon the type of pool you play and the other factors mentioned above cues can be built almost any length up to about 61 inches. With that considered next I would think about the diameter of the cues shaft. The standard size today is 13 mm, however, again depending upon what is comfortable for you and the games you play shaft diameter can be anywhere from 14 mm to as little as 10 mm. After you have found what you need from above you should consider the cues design and materials you would like it made from. This is where the cost of building the cue will come into play and today the sky is literally the limit. Custom cues can cost as little as $150 for a Plain Jane Sneaky Pete, or as much or more than $10,000 it all depends on what you want and how deep your pockets are.
Last most but not all custom cues will come with 2 Shafts, I would recommend having two for convenience.
When you have considered the things above and you are ready to approach a cue maker make a point to nail down the time table for the build and their policy for correcting problems that are not the result of abuse. Let's face it shit happens, and a fair cue maker will correct these kind of problems at no expense to you. If the person you choose to build your cue doesn't correct problems that may occur, I would find another cue maker to work with. Last do not rely upon word of mouth, get everything nailed down in writing. By this I mean communicate by email and save them. This way what is said is set in stone, which will save confusion later and identify what is agreed to if a problem arise.
Hope this helps, I am certain there is much more to think about. However, what i have written will get you started in the right direction.
Take care