Personally, I'll pay a little more for something that is aesthetically pleasing.
Here's the "make-your-own":

Does it work? Yes. But it's in desparate need of a glossy black shell.
Here's a tutorial on how to make the oem sensor bar wireless for about $8. If you have a Wii you know that there's not much to the sensor bar. Certainly not enough room for batteries (maybe a couple of AAA's but what kind of play time are you going to get out of that?), so the battery is left outside. Great for your dorm room but I'm not putting that in front of my TV.
If there's another DIY option that I'm missing, please point it out.
First off just because the poor schmuck that made that sensor bar lacks any sense of asthetics doesn't mean you don't have to. Your telling me you need a step by step hand-holding to come up with your own design? It's 4 leds wired to a battery case... you could put that in anything.
Secondly it's a misconception that AAA's are a weaker battery than AA's. They are actually the same battery more or less giving about the same life span (triple a's slightly less) and both putting out around 1.3 volts a battery. It doesn't matter about the lifetime because either option gives you more than 24 hours of play and if you have any sense you are going to be using rechargeable batteries.
Lastly, that particular bar choose the worst possible battery pack for the project. They make in-line ones ya know.
And yes rampy you can make a sensor bar out of anything. For that matter two led throwies will work as a sensor bar if you get it in the right color spectrum.
In case you aren't convinced I'll give you a step by step sans pictures.
Step #1.
go to your local hobby shop and get yourself about a foot of square, plastic, tubing (should cost around a buck) and some end-caps (should cost 50 cents). The inner diameter of the tube should be slightly larger than the type of battery you wish to use (AAA or AA).
Step #2.
Figure out the required length to stuff 4 batteries in the tube, add about a quarter of an inch and cut to length.
2b (optional). Now would be a god time to paint your tubing with a good old can of spray paint. Don't forget the end caps.
Step # 3.
Find the center point and measure 3 and 3/4 inches in each direction and drill a hole the same diamater as your leds. Then measure about a half inch beyond that and drill two more holes.
Step #4.
Trim the leads on your leds to make them as short as humanly possible while still have room to work with them. Solder/heatshrink them in sequence leaving a lot of extra wire at the first and last lead.
Step #5.
Carefully place the leds inside the drilled holes from the inside of the tube, out. You may need a pencil to push in the middle ones. Once everything is in place bend over any leads sticking out inside the tube so that everything is rather flat and optionally cover the inside with tape to avoid snags. When you are done you should have the first loose wire of the first led hanging out of one end, and the last loose wire of the last led hanging out the other.
Step #6.
Purchase yourself some battery terminals for the battery type you wish to use (basically a spring and a flat plate) trim them to fit inside the end-caps and hot-glue them in place. They should cost around a buck. Trim the loose wires so you have enough room to open the caps but not much extra slack and then solder them to the terminals.
At this point you could optionally put in a switch or visible led indicator and mount it to one of the end-caps.
Step #7 Put the end caps on... from now on whenever you wish to put in bateries take off one end cap and slide em in.
There is a nice-looking, homemade sensor bar that costs just over 5 bucks, shouldn't take more than an hour to build and you can customize to your liking or situation.
Too Much work?
Option 2.....
Step #1
Buy a wii sensor bar from nintendo and a length of beadboard and some battery terminals from your local electronics supply.
Step #2, crack open your sensor bar, measure the free space you have, and cut the breadboard to fit. You should barely (and I mean barely) have enough room for 3 or 4 AAA's.
Step #3, mount the battery terminals to either end of the board, cut off the sensor bar's cable and wire it to the teminals. Of course you can add a switch here as well.
Step #4, Replace the cover of the sensor bar and enjoy.