I usually build my own from scratch, putting it together is no more difficult than building Lego! [...].
yes but to be honest, you have to know much about the architecture to get a real increased efficiency.
I think, in the past this was much easier than now a days. An example: 10 years ago there were different cpus.
Some were able to use DDR 1600 and some could only use DDR1333.
If you know your own needs you could decide to buy DRR1333 because you know your cpu couldn't use the higher speed
or you could buy DDR1600 because you want to upgrade your cpu later (okay maybe you want to upgrade your ram also but in this example)
I don't know if you still have the choise. 10 or 20 years ago you could buy a mainboard and replace the cpu 5 month later.
I haven't seen a mainboard today which was realy able to use a 6 month later cpu without less effiency.
Do they mean buy the parts and literally build it themselves or do they mean go on a website where they select all the parts but the company builds it as they like instead of buying a pre built one ?
I was told building your own is better and cheaper and as i am due a new pc i am looking into building my own but im not sure i want to build it myself
Well for me its the same. In the past I have bought all parts myself from different shops and put them together. But there is no real difference if a company puts the parts together.
"building your own" is better and cheaper if you know what you do

If you know what you need you can select the cpu you need, you can select the grafic card you need and so one.
Nowadays... well in the past you had to look the sound and lan card don't use the same IRQ but nowadays...
sound ? onboard. lan? onboard and so one.
Nowadays its more about building a computer which fits YOUR needs. If you want to play only WoW there is no need for a sli card ^^
If you want to play modern game xy you need a better card than the integrated amd card ;-)
If you don't know what you need ... you don't have much from building your own computer.