My experience has been that a small (Crockpot-powered) kiln is relatively easy to improvise. BUT...as my grow increased in size, my first kiln was just way too small to keep up. While educational, it's a waste of effort. I would suggest constructing a larger, purpose-built kiln that can accommodate more than your first crop will require.
Check out the "fermentation" section of the Index of Key Forum Threads:
http://fairtradetobacco.com/threads/3868-Key-threads-in-the-FTT-forum for various ideas, just to get a sense of the possibilities. My newish endoskeletal kiln (linked in that listing) is already too small. Think for the future.
Historically, cigar leaf in Ohio was simply aged for several years (packed into 1000 pound wooden hogsheads), prior to use. That works.
Color-curing in a shed (a few weeks) will get the leaf to properly color, but only time (lots of it) or a kiln (~125°F x 1 month) or a
giant pile of leaf (like 5' high) will allow the colored leaf to complete the needed chemical changes. For most home growers, the answer is a decent size kiln.
With a kiln, you can grow your own cigars, and be proud of them.
Bob