The process of making your own homegrown sensors for the Lego RCX is not only possible, but a well-documented and well-walked path.
There are two main types active and passive. You need to choose which type of sensor you will require fairly early in your design.
A simple sensor like a touch sensor or variable resistance type of sensor.
For passive sensors - you simply need to construct the right connectors. Other than that- you may want to use a combination of resistors to scale and calibrate your sensor.
An active sensor actually requires power for IC’s and intelligent circuits. As such they are somewhat more complex to build.
The Lego RCX sensor pads have only 2 connections. In the passive sensor - one is the sensor input, and the other the output, but you cannot get a constant voltage - as you require power, ground and signal connectors. What the RCX does is to use one line for both power, and signal - by alternating rapidly between the two uses.
You will need a capacitor to store power, and an output channel going back down the power channel between phases.
The best explanation is probably at http://www.philohome.com/sensors/legorot.htm.