If people would laugh at you for not being able to afford
40k ... well you dont need to play with those people.. they're dicks!
That said...
40k is really expensive! And theres a certain amount of 'well I shelled out and put in countless hours of work into my army... why cant you?' Which is kind of fair.
There are some utterly amazing scratch builds out there
And if it looks good,and looks to be what it represents in game terms then most will gladly play against it,
I would be looking at styrene sheet (aka plasticard) and various rods/tubes as a good scratch building material thats not overly expensive.
If your looking for cheaper models check ebay and the likes for 2nd hand, poorly painted figures and then strip the paint off them and make them your own