I just went through this experience. The bike shops are right. It would
probably be more economical to buy a complete bike with your choice of
components, and remount them on your frame, rather than buying the
individual parts.
I started out with a 1984 Trek 620 touring frame that I purchased used. By
the time I was done, it cost me about $1,300 for the complete bike with
Ultegra STI, Deore XT rear, Ultregra front, and a truvative crank.
I could have bought numerous new touring bikes for this price. I did it for
the experience of building a bike while I took a bike mechanics course.
Would I do it again, no. I ended up taking all the components off, selling
the Trek Frame and installing them on a new Rambouillet frame. (I never
liked the color of the Trek, and to repaint and re-decal it, would have cost
me 1/2 of the new Rambouillet (which is much nicer and lighter).