After measuring the mattress length, width and depth, I bought inexpensive fabrics from a department store in colors and textures we thought would feel pleasant for sleeping. We're low on underpads, too, so we bought some thin and silky materials, but we also bought thick and cottony fabric, similar to flannel.
Pillowcases and top sheets were easy, but the bottom sheets took a little more creativity. With a king bed, I needed to sew selvedge to selvedge across the middle of the bed. A seam there could cause discomfort. To avoid that, and for added strength, I went with French seams to ensure they'd lay flat.
For the bed corners, I cut a square section out (depth of the mattress), then sewed that square back on, once the corner cuts were sewn together, to act as the under-mattress sheet holder. The flat square pocketing the mattress is pretty good at securing the sheet during use. We haven't had many problems with ours. In fact, the ones I sewed stay better than our store-bought sheets.
I spent $12 for the fabric for each complete set rather than $65 and higher at online stores. The bottom sheets took me two hours to sew - I'm fairly slow - and I could make a full set with pillowcases in less than a day. I've sewn three sets and have purchased the material for one more that I haven't started, yet. We never run out of clean sheets now and I saved a bundle of money by making them myself.
(images from Dover and Lolcats)