Most cooking or salad oils you buy in stores have been extracted using pressure or solvents, or both. You can make your own oil by pressing alone, avoiding the solvents altogether and ending up with a fresher and--to some--more wholesome product. Commonly used are seeds including sunflower and sesame and nuts like walnut, almond or peanut (even though peanuts are technically not a nut).
DIY Cooking Oil
Anyone who has made his own nut butter, or even bought natural, unhydrogenated peanut butter, has seen the oil separate and float to the top. The same thing will happen with most seeds, but you can get more oil from them by putting them in a press, either at room temperature or heated to about 170 degrees F. Hotter than that and you run the risk of burning the oils. You can make a press using a metal cylinder with a piston to close off the bottom end. A three-ton floor jack, the kind auto part stores call a "bottle jack," will provide all the pressure you need to extract the oil from the seeds.
Making the Press
The April 1979 issue of Organic Gardening magazine has an article about making sunflower oil that included the most widely referenced directions for making an oil seed press on the Internet. The system uses a metal frame welded together from three pieces of steel tubing—two of them about two feet in height to make a frame and one center piece of around six inches—with a piece of steel bar for the top crossbar and a pair of pieces of angle iron to bolt the whole thing onto a wooden base. The frame was welded together to withstand the pressure from the jack.
Ground seed meal is placed into a metal tube, about three-and-a-half inches in diameter and a bit over five inches tall, with holes drilled a half-inch apart all around the bottom two-thirds or three-quarters of the tubing. The piston is made from a round piece of ¼-inch steel plate just small enough to slide easily through the inside of the tube, and with a small piece of pipe welded to the bottom so it fits onto the centerpiece of the frame. A plastic collector (made from the bottom of a plastic jug with a hole in the middle for the bottom of the piston to fit through and a second hole for the oil to pour through into a glass jar goes at the bottom of the contraption. When the bottle jack is placed on the top of the tube full of ground seeds and pumped by hand, the pressure forces the oil out through the holes in the side, which runs down into the collector.