I've just made some kaffir lime leaf vodka. I used about 10 shredded leaves from 'Thai online' to half a litre of vodka and left it for 4 weeks before straining. It is the most delicious drink. I rub some lime rind around the top of the glass and serve with loads of ice and top up with tonic or lemonade.
By coincidence, I also just picked up a bottle of the same and am really enjoying it.
If you look at the review at Drinkhacker.com (which gives this particular Hangar One a rare "A+" rating) they mention that the fruits are extremely hard to source, so I wouldn't think making the effort to do it on your own really makes sense. (And for the quality, it doesn't seem that pricey.)