OP, trying to do exactly the same thing.
Frame was new from manufacturer, but other parts I am less fussy about. Fork kindly donated by STW legend on here, found a deal on pedals (online), wheels (LBS old stock but excellent Mavics), stem (online). Bar is off another bike, using a spare on the older bike. Got the cranks coming from another online shop.
Paid top dollar for decent brakes though (LBS) and need to get Groupset, which I probably will get online.
I think it is just a question of looking on eBay and on the classifieds here, but also generally keeping an eye open for bargains online.
There will always be a better deal, but don’t worry about it once you have got what’s going on your bike. Building a bike up is part of the fun – it is not cheaper, but I think you can get decent parts from the start. Also helped me learn a lot about looking after the bike when things go wrong.