I have been over this topic so many times now, strangely enough I’ve managed to make things more complicated than they need to be. It’s really this simple:

$ wget ftp://ftp.sunet.se/pub/Linux/kernels/v2.6/linux-2.6.19.2.tar.bz2
$ tar xfj linux-2.6.19.2.tar.bz2
$ cd linux-2.6.19.2/
$ zcat /proc/config.gz >.config
$ make menuconfig
[Tweak to your hearts desire]
$ fakeroot make-kpkg --initrd kernel_image
$ dpkg -i ../linux-image-2.6.19.2_2.6.19.2-10.00.Custom_i386.deb
[DONE!]

You may, of course, need to tweak the file /etc/kernel-pkg.conf, but there are man pages for that.