Yup, EPROMs are erased with UV lamps... There's a trick to it however, the amount of time required under the lamp to erase the data without damaging the EPROM is dependent on the lamp and enclosure design (as well as the eprom itself). So if you build your own, be prepared to do some experimentation.
Do you already have a programmer?
EPROM erasers start at around $50 and go up.
Honestly, if you only need a couple of eproms burned, and aren't going to be getting into doing alot of them in the future, you could probably get them done for around $15-$20 including the chips.