Source a suitable circuit schematic and instructions to build your compressor. A popular model to replicate is the Tektronix LA2A. This well-proven design is more easily within the scope of a home-builder. A complete self-build instruction book for a replica of this model, "How to Build a Tube Compressor Limiter" by Dave Jahnsen, is available online.
Source all of the required electronic components according to the list of parts indicated in the self-build instructions. The list is lengthy so you may find it useful to establish a spreadsheet of all components and check each one off when you have obtained it. Label each part as you acquire it to avoid confusion during the building stage.
Obtain a suitable casing for the device. There are commercially available chassis to purchase from various specialist online sellers, or you can follow the build instructions to fabricate your own if you have access to a suitable metal workshop.
Follow the steps in the self-build instructions to wire all the electronic components correctly. Be sure to follow safe working procedures with the soldering iron. With all electrical work it is wise to double check all your connections before mounting the completed circuitry and other components in your chassis. Connect the power and begin to test your equipment.