I haven't made one myself (although I'd want to!), but a couple friends ordered theirs online and I was looking at their fire hula hoops up close and it wouldn't be too hard to make.
You'd need either made poi heads (or make them yourself with wick) and strong thick metal wires to twist and pierce through the hoop, or thin metal tubes to screw in the hoop.
It needs some commitment, but it is do-able.
Online from what I've seen they're over $80+.
If you come at our FireFlys spinning sessions, you can meet up with the hula girls and check them out for yourself.
For fire spinning time and place updates, tune up at our Twitter account for Missoula FireFlys: http://twitter.com/MslaFireflys