I build them the usual way (I think). I run "h2xs -A -n MODULE_NAME". You have to make several edits to the files in the module to make them C++ compatible. This includes adding an XSOPT => '-C++' line to Makefile.PL. So the answer to the second question is that I am using MakeMaker, I just have to make a few changes to Makefile.PL. There is a good summary of the processs here: http://www.johnkeiser.com/perl-xs-c++.html
I have tried to build my own Perl binary but I am having considerable problems. Let me run this by you and see what you think though ... in the past when this worked, I compiled using gcc. But for some unknown reason, gcc is broken at my site. So I have been using Sun's CC compiler instead. I wonder if this isn't the source of my problem?