Obviously worth researching for your particular jurisdiction, but I seem to recall reading that distilling wood alcohol, i.e. making your own turpentine, is legal in just about all the places that distilling your own booze isn't. Perhaps the technique is similar enough it would be a cheap(er) way to practice?
"Intellectuals are naturally attracted by the idea of a planned society, in the belief that they will be in charge of it" -Roger Scruton