There are many different routes you can go with this, the cheapest way is to have a reputable local machine shop do the machine work and you can do the assembly. These engines (diesel) are not really much different from any other, and only thing you really need to pay attention to is all your measurements/ clearances as with any other build.
Another option would be to have your local machine shop do the entire build. Many machine shops offer a warranty with there work which can be nice if you run into any issues in the future.
Next would be to have one of the big name diesel shops (Swamps, Wide Open Performance, Stauffer Diesel) do the build. Only issue with this is if there is ANY issues there can be problems getting them resolved because they are not local. Local guys just seem to be more willing to help you out.
An then there are your "crate" engines which I am always a little leery of. These shops are all about banging engines out, and the attention to detail might not be as good as others. Also, if there are any issue's with the engine it can be a SOB to get it resolved. Ask me how I know.
I prefer to do the build myself, this way I know everything is done right. I had the local guys do the machine work, and I did the final assembly. But if you go this route be sure you are capable of checking all the machine work, and properly assembling the engine.
Good Luck!