I have not made one, but years ago i purchased a cheap set of wrenches that had what you're talking about... a folded piece of metal that wrapped around the set and a set screw on top to "lock" them in place. They wouldn't fall out until you loosened the setscrew. And yes, if you are handy at metalwork you could make your own...drill and tap for the set/thumbscrew.
Nice looking set of wrenches.
