First, veroboard-style breadboard is quite useful for smaller circuits.
If you want to do mains power, you might want to Dremel out a trace in between the traces of the relay, to reduce the risk of iron filings causing shorts.
This is what I do for one-offs, and it works fine so far.
Second, to make PCBs yourself, people recommend "toner transfer." However, when looking at all that, I've come to the conclusion that paying $60 for a PCB from an online PCB printer is worth it.
Not only do you get 3 PCBs for the minimum order, but you get a full digital production process -- out of your layout, and into your mailbox, in 3 days! http://expresspcb.com/ExpressPCBHtm/SpecsMiniboard.htm
(There are others -- http://pcbexpress.com/products/prices.php#1pricing
Also, Circuit Specialists have nice aluminium enclosures under $10, that come with through-plated hole-array PCBs. This means you have to actually solder wiring between components, and/or use wire wrap posts (remember wire wrapping?) but it's an option if you're going to get enclosures anyway.http://www.circuitspecialists.com/extruded-aluminum-electronics-enclosures
(They also have the kinds of DIY etching parts you're asking for: http://www.circuitspecialists.com/printed-circuit-board-fabrication
Finally, -- tried a desktop CNC milling machine? It can cut isolation from traces on copper clad FR4 just fine, and probably even drill the holes ;-)