^Yes. Shadow703793 (in this forum) has already gone this route. You are going to need more than just a drill press...you will need a milling machine.
1. Why do you want to make your own? Do current blocks not work well for you or do you just want to try and see how you do?
2. Have you done research into the design properties of a waterblock, especially for a CPU? There are specific reasons they are designed (internally) as they are.