I personally like to buy my eyes, but I have done some myself in the past. Hard to guess the right size for me! It is still fun to experiment but in my case I end up making the doll's face according to the eyes I already made, not the other way around :oB
Anyway, here is a fun tutorial on how to make art doll eyes, by Granet. You need to click again in the image so it blows up to a large readable size.
Here is another different way, using clay and paint. very cute, click HERE
And a more simpler style by "the drunk gnome", also with clay, HERE
And last but not least, Misty Moon Creations shows how to make dolls eyes HERE
Hope you have fun experimenting with clay!