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