You can make most everything from mild steel and case harden it. You can do the frizzen this way, but it would be better if it were a through hardening steel like 1070 or 1095, which would be good for the springs.
While I have made many parts for locks, I have yet to make myself a complete lock from scratch. I have a lockplate started, and eventually I'll get around to finishing it.
I had the local machine shop make me up some "blank tumblers". Basically a 1" diameter, 1/4" thick wheel of mild steel with one shaft 3/8" and the other shaft 3/16", which I can turn to dimension on my "lathe" (chucked into a big drill held in my lap). I've made one tumbler so far, and it has worked pretty well.