As always, I will recommend someone who asks this question to first, acquire knowledge.
There are many ways you can do this, and Joey mentioned one of the best pre-requisites to cue making. Chris Hightower sells DVD's at $50 a piece and they are packed full of great info. I own all of them. He also sells a book that is superb as well.
With the knowledge I just mentioned, you should have a decent idea of what to buy, and what to do with it. Remember, you can seriously hurt yourself with these machines and materials if you don't know what you're doing, which is why i always tell the new guys to get acquainted first. You have to love the craft, and it would be nice to know where you want to go with it.
I am self taught with the exception that I have a couple local cue makers and the wonderful fellow cue makers on these forums to call upon when I come up against a wall. I have been making cues for a little over a year now, and it's been a huge kick in the nutz! but with that said, I am happy I can make a decent cue and go out and play with it knowing it was borne from a figment of my imagination.
I make cues on one main lathe, and I have a wood lathe for finishing but you got to have the will power and the creativity to get the job done right. Cue making is not just about buying the wood and sticking it in a machine. I is about having the other stuff like the jigs and being able to create it out of thin air should the opportunity arise. That is the frustrating part. One minute you are cruising along, and the next minute, it's, "$hit! I need this. $hit! I now I need that." and after you deviate off course to make a jig for your table saw, or your tapered collets, you got to try and remember what in the hell you were doing in the first place..... it just wears me out typing about it......
I honestly thought there was gonna be nothing to it but it has been a humbling experience.
Good Luck, and I hope you find your way.