we bought a new king sized bed about two years ago. you're right- it does cost a lot for the linens! I have found by best deals on sheets at christmas. I got a really nice 600 thread count set from costco for $45! I was very excited!
As for the bed skirt- those things never seem to be the right size anyway- they are either much too long, or too short. I think you are smart to make your own, it will definately fit better!