Hey Erin,
Costs = cheap. I just followed the directions on Chris Seymour's website (
link) and I bet it cost me less than $400.
4 pieces of 3" poplar, 4 brackets, 4 yards of triple black velvet, screen material, and a bit of scrap base trim to mount it and you're good to go. I used a pneumatic stapler, and it worked great. Just make sure you aren't burying your staples in case you need to pull them to re-tension the screen material during the installation process.
The first time I built the screen, I nailed the screen tension perfectly. For whatever reason, when I redid the screen with his new material, it took me a few times to get it 98% right. I could still improve it a bit, but it's diminishing returns at this point and you can't see any picture distortion. I'll save that project for a rainy day.