There was a time when the only way of getting a nice quality Icehouse was to make it yourself. Those days are history, but some people still enjoy making custom Icehouse sets, so here are some notes on the subject, left over from the old days.
Many people have made sets themselves, out of wood, clay, pottery, home-cast plastic resin, and even sand cast aluminum. Some players have even turned icehouse piece making into an art form; check out Andrew Plotkin's Gallery of painted icehouse pieces.
If you know woodworking, you can cut out pyramids by hand. You could also buy Sculpy or Fimo, which are modeling clay products that turn hard when you bake the stuff in the oven, and make pyramids with that. If you feel like putting in the effort, you can get a pretty nice set this way. What you'll want to do is to get some sheet metal and cut out triangles to use as molds. Take 4 triangles and form them into a pyramid, and tape it shut with masking tape. Then stuff the clay in through the base, pack it tight, and bake it. Then remove the sheet metal panels and do it 59 more times.
The most important thing to remember though, if you do decide to make your own pyramids, is this: BE CAREFUL. Don't go slashing your finger open, or something stupid like that.