To build a Tesla coil, start by gathering materials including a high-voltage transformer, copper wire (both thick for the primary coil and fine for the secondary), a high-voltage capacitor, a spark gap (made from two bolts), a non-conductive base, and a grounding rod. First, wind the fine copper wire around a PVC pipe for the secondary coil, securing it with tape. Next, create the primary coil by wrapping the thicker wire in about 5-10 turns around the secondary coil. Construct the capacitor bank, connecting multiple capacitors in parallel if needed, and position the bolts for the spark gap. Connect the primary coil to the capacitor and spark gap, and ground the secondary coil properly. Once everything is set up, turn on the power supply and adjust the spark gap to initiate high-voltage discharges from the secondary coil. Always prioritize safety by working in a clear area, wearing protective gear, and ensuring you understand the risks involved in handling high voltage.