How to make the oil your body produces? You can't really; it's too complex.
How to make oils to put on the body? People have been putting them on straight from the plant for thousands of years - coconut, palm, avocado, aloe (not an oil) you name it. You can buy those oils as is.
If you want a lotion that doesn't leave your skin greasy, you have to mix oil with water and maybe something like glycerin, and oil and water don't stay mixed, so you have to add ingredients that do. Alcohol is added sometimes to evaporate the water. I would just Google 'making body oils/lotions.'