I have not tried making one myself but I can recommend a site for you to check out: www.morphix.org.
A live Morphix CD is built on modules that you can add or remove as you desire. As a result you can customize a live cd based on what software you want to run and what modules are available. Check out the how-to and the FAQ on the site for more details. I offer this information with the caveat that I have not tried to make a live CD the Morphix way and, as a result, I don't know how difficult/easy it is. Just thought I'd give you the option to check it out. Good luck.