I made two sets a few years ago for my son and son-in-law.
I used hard maple and walnut for both the pieces and the boards.
The boards are the easy part.
Then make a box to keep the pieces in.
It gets kinda boreing cutting the pawns (I had 32 to cut) but if you go slow and take your time, you will have something to be proud of and that no one else in the world will have.
Good luck and start making saw dust!!
Rog