This is in fact the trickiest part if you don’t want to buy one, and don’t have the proper tools. I made mine out of a one-piece aluminum block, 50mm x 100mm and 16mm thick. I drilled out three holes horizontally and one hole in each end vertically. Each of the horizontal holes where plugged and since the vertical holes will serve as inlet and outlet, I put two 15mm brass fittings there. The images below are the whole waterblock/TEC/coldplate ready for use.
Fig. 2 Waterblock
Fig. 3 Waterblock
Fig. 4 Waterblock
Normally I would use some bolts to fasten the whole waterblock/TEC/coldplate together, but it was impossible because of the holes in the waterblock so I used some LockTite superglue and glued it together after applying a thin and even layer of thermal paste.
Just to point that out: Thermal paste does not improve thermal conductivity, it rather reduce the lack of it, or even more accurately: It increase the thermal transfer rate between the two surfaces. When two faces like the CPU slug and coldplate are pressed against each other, there will occur some air-gaps because of uneven surfaces, convex or concave slug etc. These air gaps will reduce the heat-transferal between the CPU and coldplate and need to be evened out, either by lapping, thermal paste or both. In this case I used both, and the result was a 5C° improvement compared to thermal paste only.